Order flow, transaction clock, and normality of asset returns

• 成果类型: Article
• 署名作者: Ané, T; Geman, H
• 署名单位: Universite PSL; Universite Paris-Dauphine
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/0022-1082.00286
• 发表日期: 2000
• 页码: 2259-2284
• 关键词: TRADING VOLUME; volatility; STOCK; variance; MARKETS; prices; MODEL

摘要

The goal of this paper is to show that normality of asset returns can be recovered through a stochastic time change. Clark (1973) addressed this issue by representing the price process as a subordinated process with volume as the lognormally distributed subordinator. We extend Clark's results and find the following: (i) stochastic time chang-es are mathematically much less constraining than subordinators; (ii) the cumulative number of trades is a better stochastic clock than the volume for generating virtually perfect normality in returns; (iii) this clock can be modeled nonparametrically, allowing both the time-change and price processes to take the form of jump diffusions.