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Kalman Filter For Arbitrage Identification In High Frequency Data
We present a methodology for modelling real world high frequency financial data.The methodology copes with the erratic arrival of data and is robust to additive outliers in the data set. Arbitrage pricing relationships are formulated into a linear state space representation.
برچسب: Frequency
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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 […]
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The Interaction Between The Frequency Of Market Quotes Spread And Volatility In Forex
Frequency Of Market There is an empirical relationship between volatility,average spread, and number of quotations in the foreign exchange spot market. The estimation procedure involves two steps.In the Þrst one the optimal functional form between these variables is determined through a maximization procedure of the unrestricted VAR, involving the BoxÐCox transformation.The second step uses the […]