Please use this identifier to cite or link to this item: http://arl.liuc.it/dspace/handle/2468/6145
Title: Modeling non-stationarities in high-frequency financial time series
Authors: Ponta, Linda
Trinh, Mailan
Raberto, Marco
Scalas, Enrico
Cincotti, Silvano
Issue Date: 2019
Publisher: Elsevier
Bibliographic citation: Ponta Linda, et al. (2019), Modeling non-stationarities in high-frequency financial time series. In: Physica A: statistical mechanics and its applications, vol. 521, 1 May 2019, p. 173-196. ISSN 0378-4371. E-ISSN 1873-2119. DOI 10.1016/j.physa.2019.01.069.
Abstract: We study tick-by-tick financial returns for the FTSE MIB index of the Italian Stock Exchange (Borsa Italiana). We confirm previously detected non-stationarities. Scaling properties reported before for other high-frequency financial data are only approximately valid. As a consequence of our empirical analyses, we propose a simple model for non-stationary returns, based on a non-homogeneous normal compound Poisson process. It turns out that our model can approximately reproduce several stylized facts of high-frequency financial time series. Moreover, using Monte Carlo simulations, we analyze order selection for this class of models using three information criteria: Akaike's information criterion (AIC), the Bayesian information criterion (BIC) and the Hannan–Quinn information criterion (HQ). For comparison, we perform a similar Monte Carlo experiment for the ACD (autoregressive conditional duration) model. Our results show that the information criteria work best for small parameter numbers for the compound Poisson type models, whereas for the ACD model the model selection procedure does not work well in certain cases.
URI: http://arl.liuc.it/dspace/handle/2468/6145
Journal/Book: Physica A: statistical mechanics and its applications
ISSN: 0378-4371
Appears in Collections:Contributo in rivista

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