logo
ads
سفارش طراحی انواع اکسپرت و اندیکاتور
search

از بین هزاران مقاله ما جستجو کنید...

مجموعه آموزشی جامع فارکس

De Matos And Fernandes-Testing The Markov Property With Ultra-High Frequency Financial Data

De Matos And Fernandes-Testing The Markov Property With Ultra-High Frequency Financial Data
De Matos And Fernandes-Testing The Markov Property With Ultra-High Frequency Financial Data

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of […]

10

De Matos And Fernandes-Testing The Markov Property With Ultra-High Frequency Financial Data

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete level. This framework is convenient for it accommodates not only the irregular spacing of transactions data, but also price discreteness. Under such an observation rule, the current price duration is independent of previous price durations given the current price realization. A simple nonparametric test then follows by examining whether this conditional independence property holds. Finally, we investigate whether or not bid ask spreads follow Markov processes using transactions data from the New York Stock Exchange. The motivation lies on the fact that asymmetric information models of market microstructures predict that the Markov property does not hold for the bid-ask spread. The results are mixed in the sense that the Markov assumption is rejected for three out of the five stocks we have analyzed.

بخش دانلود
  • عنوان مقاله : ...De Matos And Fernandes-Testing The Markov
  • نوع فایل : PDF
  • حجم فایل : 140 کیلوبایت

دانلود فایل