Modeling non-stationarities in high-frequency financial time series
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| Publicado en: | arXiv.org (Feb 27, 2017), p. n/a |
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| Autor principal: | |
| Otros Autores: | , , , |
| Publicado: |
Cornell University Library, arXiv.org
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| Acceso en línea: | Citation/Abstract Full text outside of ProQuest |
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| 001 | 2075499940 | ||
| 003 | UK-CbPIL | ||
| 022 | |a 2331-8422 | ||
| 035 | |a 2075499940 | ||
| 045 | 0 | |b d20170227 | |
| 100 | 1 | |a Ponta, Linda | |
| 245 | 1 | |a Modeling non-stationarities in high-frequency financial time series | |
| 260 | |b Cornell University Library, arXiv.org |c Feb 27, 2017 | ||
| 513 | |a Working Paper | ||
| 520 | 3 | |a We study tick-by-tick financial returns belonging to the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We can confirm previously detected non-stationarities. However, scaling properties reported in the previous literature for other high-frequency financial data are only approximately valid. As a consequence of the empirical analyses, we propose a simple method for describing non-stationary returns, based on a non-homogeneous normal compound Poisson process. We test this model against the empirical findings and it turns out that the model can approximately reproduce several stylized facts of high-frequency financial time series. Moreover, using Monte Carlo simulations, we analyze order selection for this model class using three information criteria: Akaike's information criterion (AIC), the Bayesian information criterion (BIC) and the Hannan-Quinn information criterion (HQ). For comparison, we also perform a similar Monte Carlo experiment for the ACD (autoregressive conditional duration) model. Our results show that the information criteria work best for small parameter numbers for the compound Poisson type models, whereas for the ACD model the model selection procedure does not work well in certain cases. | |
| 653 | |a Monte Carlo simulation | ||
| 653 | |a Time series | ||
| 653 | |a Autoregressive models | ||
| 653 | |a Empirical analysis | ||
| 653 | |a Bayesian analysis | ||
| 653 | |a Stock exchanges | ||
| 653 | |a Model testing | ||
| 653 | |a Poisson density functions | ||
| 653 | |a Computer simulation | ||
| 653 | |a Criteria | ||
| 700 | 1 | |a Trinh, Mailan | |
| 700 | 1 | |a Raberto, Marco | |
| 700 | 1 | |a Scalas, Enrico | |
| 700 | 1 | |a Cincotti, Silvano | |
| 773 | 0 | |t arXiv.org |g (Feb 27, 2017), p. n/a | |
| 786 | 0 | |d ProQuest |t Engineering Database | |
| 856 | 4 | 1 | |3 Citation/Abstract |u https://www.proquest.com/docview/2075499940/abstract/embedded/6A8EOT78XXH2IG52?source=fedsrch |
| 856 | 4 | 0 | |3 Full text outside of ProQuest |u http://arxiv.org/abs/1212.0479 |