FROM TICK DATA TO SEMIMARTINGALES

• 成果类型: Article
• 署名作者: Ait-Sahalia, Yacine; Jacod, Jean
• 署名单位: Princeton University; Sorbonne Universite; Universite Paris Cite
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/20-AAP1571
• 发表日期: 2020
• 页码: 2740-2768
• 关键词: limit-theorems; MODEL; options

摘要

Tick-by-tick asset price data exhibit a number of empirical regularities, including discreteness, long periods where prices are flat, periods of price moves of alternating plus and minus one tick, periods of rapid successive price moves of the same sign, and others. This paper proposes a framework to examine whether and how these microscopic features of the tick data are compatible with the typical macroscopic continuous-time models, based on Ito semimartingales, that are employed to represent asset prices. We construct in particular tick-by-tick models that deliver by scaling macroscopic semimartingale models with stochastic volatility and jumps.