Dynamic modelling of irregular times, prices and volumes at high frequencies
This thesis undertakes an investigation into time series at high frequency. The three main channels of information in high frequency data - irregular time intervals (durations), prices and volumes - are all explored and modelled to improve current understanding, while accounting for the long memory...
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Imperial College London
2012
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ndltd-bl.uk-oai-ethos.bl.uk-5508472017-08-30T03:17:24ZDynamic modelling of irregular times, prices and volumes at high frequenciesShenai, NikhilZaffaroni, Paolo2012This thesis undertakes an investigation into time series at high frequency. The three main channels of information in high frequency data - irregular time intervals (durations), prices and volumes - are all explored and modelled to improve current understanding, while accounting for the long memory property, a crucial stylised fact found in the literature. In doing so, we make use of the theory of point processes, econometric techniques such as Whittle estimation and Kalman Filter forecasting, and also sophisticated computing architecture including database systems and programming languages across multiple software environments.330.015195Imperial College Londonhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550847http://hdl.handle.net/10044/1/9477Electronic Thesis or Dissertation |
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NDLTD |
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330.015195 |
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330.015195 Shenai, Nikhil Dynamic modelling of irregular times, prices and volumes at high frequencies |
| description |
This thesis undertakes an investigation into time series at high frequency. The three main channels of information in high frequency data - irregular time intervals (durations), prices and volumes - are all explored and modelled to improve current understanding, while accounting for the long memory property, a crucial stylised fact found in the literature. In doing so, we make use of the theory of point processes, econometric techniques such as Whittle estimation and Kalman Filter forecasting, and also sophisticated computing architecture including database systems and programming languages across multiple software environments. |
| author2 |
Zaffaroni, Paolo |
| author_facet |
Zaffaroni, Paolo Shenai, Nikhil |
| author |
Shenai, Nikhil |
| author_sort |
Shenai, Nikhil |
| title |
Dynamic modelling of irregular times, prices and volumes at high frequencies |
| title_short |
Dynamic modelling of irregular times, prices and volumes at high frequencies |
| title_full |
Dynamic modelling of irregular times, prices and volumes at high frequencies |
| title_fullStr |
Dynamic modelling of irregular times, prices and volumes at high frequencies |
| title_full_unstemmed |
Dynamic modelling of irregular times, prices and volumes at high frequencies |
| title_sort |
dynamic modelling of irregular times, prices and volumes at high frequencies |
| publisher |
Imperial College London |
| publishDate |
2012 |
| url |
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550847 |
| work_keys_str_mv |
AT shenainikhil dynamicmodellingofirregulartimespricesandvolumesathighfrequencies |
| _version_ |
1718521615318253568 |