Modeling price clustering in high-frequency prices

DOI10.1080/14697688.2022.2050285zbMath1498.91418arXiv2102.12112OpenAlexW3132635290MaRDI QIDQ5039627

Vladimír Holý, Petra Tomanová

Publication date: 30 September 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2102.12112

zbMATH Keywords

high-frequency datageneralized autoregressive score modelprice clusteringdouble Poisson distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Financial markets (91G15)

Uses Software

• BRENT

Cites Work

• Price clustering in bitcoin
• Generalized autoregressive conditional heteroscedasticity
• A model for integer-valued time series with conditional overdispersion
• On the probability of default in a market with price clustering and jump risk
• Integer-valued Lévy processes and low latency financial econometrics
• Dynamic Models for Volatility and Heavy Tails
• Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
• Realized kernels in practice: trades and quotes
• Double Exponential Families and Their Use in Generalized Linear Regression
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Underdispersion models: Models that are “under the radar”
• The Econometrics of Ultra-high-frequency Data
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• Information-theoretic optimality of observation-driven time series models for continuous responses

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