English, Article edition: A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH CLAUDIA CECI; ANNA GERARDI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
Author
  • CLAUDIA CECI
  • ANNA GERARDI
Physical Description
  • article
Notes
  • A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent. In particular the two processes may have common jump times, which means that the actual trading activity may affect the law of X and could be also related to the possibility of catastrophic events. The agents, in this model, are restricted to observing past asset prices. This leads to a filtering problem with marked point process observations. The conditional law of X given the past asset prices (the filter) is characterized as the unique weak solution of the KushnerâStratonovich equation. An explicit representation of the filter is obtained by the FeymanâKac formula using a linearization method. This representation allows us to provide a recursive algorithm for the filter computation.
  • High-frequency data, marked point processes, jump-diffusions, filtering
  • RePEc:wsi:ijtafx:v:09:y:2006:i:04:p:555-576
Language
  • English
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