English, Article, Journal or magazine article edition: Order flow transaction clock and normality of asset returns: A comment on Ané and Geman (2000) Anthony Murphy; Marwan Izzeldin

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Bookmark: http://trove.nla.gov.au/version/59596
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Order Flow, Transaction Clock, and Normality of Asset Returns: A Comment on Ané and Geman (2000)
Author
  • Anthony Murphy
  • Marwan Izzeldin
Physical Description
  • preprint
Notes
  • We investigate the procedure used by Ané and Geman (2000) to recover the moments of the information flow from high frequency data, in a model which generalizes the subordinated process in Clark (1973). We explain why the third and higher moments of the latent information flow cannot be accurately recovered using this procedure. We illustrate this, using Monte Carlo simulations. We also show that, contrary to the claims in AG, returns conditioned on the re-centered number of trades are not approximately Gaussian.
  • RePEc:lan:wpaper:003090
  • We investigate the procedure used by Ané and Geman (2000) to recover the moments of information flow from high frequency data in a model which generalizes the subordinated /​ mixture of distributions process in Clark (1973). Using Monte Carlo experiments we show that the third and higher moments of the latent information flow cannot be accurately recovered using their univariate procedure. We explain why this happens. In our data, returns conditioned on the recentered number of trades are not Gaussian.
  • Subordinated process; Normality
  • RePEc:wpa:wuwpfi:0512005
Language
  • English
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