Testing the Markov Property with Ultra-High Frequency Financial Data

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some discrete...

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Bibliographic Details
Main Author: Amaro de Matos, João (author)
Other Authors: Fernandes, Marcelo (author)
Format: workingPaper
Language:eng
Published: 2019
Subjects:
Bid-ask spread
Nonparametric testing
Price durations
Markov property
Ultra-high frequency data
Online Access:http://hdl.handle.net/10362/83205
Country:Portugal
Oai:oai:run.unl.pt:10362/83205

Internet

http://hdl.handle.net/10362/83205

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