Template-type: ReDIF-Paper 1.0
Author-Name: Ole E. Barndorff-Nielsen
Author-Email: oebn@imf.au.dk
Author-Workplace-Name: The T.N. Thiele Centre for Mathematics in Natural Science, Department of Mathematical Sciences,
University of Aarhus, Ny Munkegade, DK-8000 Aarhus C, Denmark & CREATES, University of Aarhus
Author-Name: David G. Pollard
Author-Email: dpollard@ahl.com
Author-Workplace-Name: AHL Research, Man Research Laboratory, Eagle House, Walton Well Road, Oxford OX2 6ED, UK
Author-Name: Neil Shephard
Author-Email: neil.shephard@economics.ox.ac.uk.
Author-Workplace-Name: Oxford-Man Institute, University of Oxford, Eagle House, Walton Well Road, Oxford OX2 6ED, UK, & Department of Economics, University of Oxford 
Title: Discrete-valued Levy processes and low latency financial econometrics
Abstract:  Motivated by features of low latency data in finance we study in detail discrete-valued Levy processes as the basis of price processes for high frequency econometrics. An important case
of this is a Skellam process, which is the difference of two independent Poisson processes. We propose a natural generalisation which is the difference of two negative binomial processes. We
apply these models in practice to low latency data for a variety of different types of futures contracts.
Keywords: futures markets; high frequency econometrics; low latency data; negative binomial; Skellam distribution.
X-Classification-JEL: 
Length: 29 pages
Creation-Date: 2010-06-18
Number: 2010-W04
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2010/w4/skellam180610.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1004