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Modelling financial high frequency data using point processes. (English) Zbl 1178.91218
Andersen, Torben G. (ed.) et al., Handbook of financial time series. With a foreword by Robert Engle. Berlin: Springer (ISBN 978-3-540-71296-1/hbk; 978-3-540-71297-8/ebook). 953-979 (2009).
Summary: We survey the modelling of financial markets transaction data characterized by irregular spacing in time, in particular so-called financial durations. We begin by reviewing the important concepts of point process theory, such as intensity functions, compensators and hazard rates, and then the intensity, duration, and counting representations of point processes. Next, in two separate sections, we review dynamic duration models, especially autoregressive conditional duration models, and dynamic intensity models (Hawkes and autoregressive intensity processes). In each section, we discuss model specification, statistical inference and applications.
For the entire collection see [Zbl 1162.91004].

MSC:
91G70 Statistical methods; risk measures
60G55 Point processes (e.g., Poisson, Cox, Hawkes processes)
91-02 Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
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