Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.485544
Title: Time-changed self-similar processes : an application to high frequency financial data
Author: Arroum, Wahib
ISNI:       0000 0001 3429 7824
Awarding Body: University of Southampton
Current Institution: University of Southampton
Date of Award: 2007
Availability of Full Text:
Full text unavailable from EThOS.
Please contact the current institution’s library for further details.
Abstract:
We consider processes of the form X(t) = X(O(t)) where X is a self-similar process with stationary increments and 0 is a deterministic subordinator with a periodic activity function a = Of > O. Such processes have been proposed as models for high-frequency financial data, such as currency exchange rates, where there are known to be daily and weekly periodic fluctuations in the volatility, captured here by the periodic activity function. We propose three new methods for estimating the activity and review an existing estimator for it. We present some experimental studies of the estimators performances. We finish with an application to high frequency financial data such as foreign exchange rates and FTSEIOO futures contract.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.485544  DOI: Not available
Share: