A semi-Markov model for price returns

Economy – Quantitative Finance – Statistical Finance

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Scientific paper

We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday return are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on this assumptions we derived the equations for the first passage time distribution and the volatility autocorreletion function. Theoretical results have been compared with empirical findings from real data. In particular we analyzed high frequency data from the Italian stock market from first of January 2007 until end of December 2010. The semi-Markov hypothesis is also tested through a nonparametric test of hypothesis.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

A semi-Markov model for price returns does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with A semi-Markov model for price returns, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and A semi-Markov model for price returns will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-245424

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.