Modeling non-stationarities in high-frequency financial time series

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Dettagli Bibliografici
Pubblicato in:	arXiv.org (Feb 27, 2017), p. n/a
Autore principale:	Ponta, Linda
Altri autori:	Trinh, Mailan, Raberto, Marco, Scalas, Enrico, Cincotti, Silvano
Pubblicazione:	Cornell University Library, arXiv.org
Soggetti:	Monte Carlo simulation Time series Autoregressive models Empirical analysis Bayesian analysis Stock exchanges Model testing Poisson density functions Computer simulation Criteria
Accesso online:	Citation/Abstract Full text outside of ProQuest
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Descrizione
Abstract:	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.
ISSN:	2331-8422
Fonte:	Engineering Database