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Integer-valued Lévy processes and low latency financial econometrics. (English) Zbl 1278.91156

Summary: Motivated by features of low latency data in financial econometrics we study in detail integer-valued Lévy processes as the basis of price processes for high-frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
91B60 Trade models
91G70 Statistical methods; risk measures
91G80 Financial applications of other theories
60G51 Processes with independent increments; Lévy processes
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