Continuous Time Analysis of Fleeting Discrete Price Moves

• 成果类型: Article
• 署名作者: Shephard, Neil; Yang, Justin J.
• 署名单位: Harvard University; Harvard University
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2016.1192544
• 发表日期: 2017
• 页码: 1090-1106
• 关键词: High-frequency data; autoregressive conditional duration; infinitely divisible processes; mixed moving averages; realized variance; microstructure noise; security prices; Levy processes; MODEL; volatility

摘要

This article proposes a novel model of financial prices where (i) prices are discrete; (ii) prices change in continuous time; (iii) a high proportion of price changes are reversed in a fraction of a second. Our model is analytically tractable and directly formulated in terms of the calendar time and price impact curve. The resulting cadlag price process is a piecewise constant semimartingale with finite activity, finite variation, and no Brownian motion component. We use moment-based estimations to fit four high-frequency futures datasets and demonstrate the descriptive power of our proposed model. This model is able to describe the observed dynamics of price changes over three different orders of magnitude of time intervals. Supplementary materials for this article are available online.