TY - JOUR
T1 - Modelling high-frequency economic time series
AU - TANG, Lei Han
AU - Huang, Zhi Feng
N1 - Funding Information:
We would like to thank Prof. Lam Kin at the Department of Finance and Decision Sciences, HK Baptist University for providing the HSI data, and Dr. Emily Ching for sending us Ref. [18] prior to publication. The work is supported in part by the Hong Kong Baptist University under grant FRG/97-98/II-78.
PY - 2000/12/15
Y1 - 2000/12/15
N2 - The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analyzed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem, we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certain conditional averages of the time series. Furthermore, following a recent work by Stolovitzky and Ching, we show that the observed PDF can be reproduced by a Langevin process with a move-dependent noise amplitude. The form of the Langevin equation can be determined directly from the market data.
AB - The minute-by-minute move of the Hang Seng index (HSI) data over a 4-yr period is analyzed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem, we derive an analytic form for the probability distribution function (PDF) of index moves from fitted functional forms of certain conditional averages of the time series. Furthermore, following a recent work by Stolovitzky and Ching, we show that the observed PDF can be reproduced by a Langevin process with a move-dependent noise amplitude. The form of the Langevin equation can be determined directly from the market data.
UR - http://www.scopus.com/inward/record.url?scp=0034507485&partnerID=8YFLogxK
U2 - 10.1016/S0378-4371(00)00442-8
DO - 10.1016/S0378-4371(00)00442-8
M3 - Journal article
AN - SCOPUS:0034507485
SN - 0378-4371
VL - 288
SP - 444
EP - 450
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 1-4
ER -