Modelling Financial High Frequency Data Using Point Processes

CRC Discussion Paper No. 2007-066

30 Pages Posted: 6 Aug 2008

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research; Center for Financial Studies (CFS); Vienna Graduate School of Finance (VGSF)

Multiple version iconThere are 2 versions of this paper

Date Written: November 5, 2007

Abstract

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price changes observable based on financial high-frequency data. After discussing fundamental statistical concepts of point process theory, we review duration-based and intensity-based models of financial point processes. Whereas duration-based approaches are mostly preferable for univariate time series, intensity-based models provide powerful frameworks to model multivariate point processes in continuous time. We illustrate the most important properties of the individual models and discuss major empirical applications.

Keywords: Financial point processes, dynamic duration models, dynamic intensity models

JEL Classification: C22, C32, C41

Suggested Citation

Bauwens, Luc and Hautsch, Nikolaus, Modelling Financial High Frequency Data Using Point Processes (November 5, 2007). CRC Discussion Paper No. 2007-066. Available at SSRN: https://ssrn.com/abstract=1206162 or http://dx.doi.org/10.2139/ssrn.1206162

Luc Bauwens

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Nikolaus Hautsch (Contact Author)

University of Vienna - Department of Statistics and Operations Research ( email )

Oskar-Morgenstern-Platz 1
Vienna, A-1090
Austria

Center for Financial Studies (CFS) ( email )

Grüneburgplatz 1
Frankfurt am Main, 60323
Germany

Vienna Graduate School of Finance (VGSF) ( email )

Welthandelsplatz 1
Vienna, 1020
Austria

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