Semi-Markov Models in High Frequency Finance: A Review
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
- D’Amico, Guglielmo & Petroni, Filippo, 2012.
"A semi-Markov model for price returns,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4867-4876.
- Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model for price returns," Papers 1103.6143, arXiv.org.
- Ingve Simonsen & Mogens H. Jensen & Anders Johansen, 2002. "Optimal Investment Horizons," Papers cond-mat/0202352, arXiv.org.
- D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2013. "First and second order semi-Markov chains for wind speed modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1194-1201.
- Richard B. Olsen & Ulrich A. Müller & Michel M. Dacorogna & Olivier V. Pictet & Rakhal R. Davé & Dominique M. Guillaume, 1997. "From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (*)," Finance and Stochastics, Springer, vol. 1(2), pages 95-129.
- F. Petroni & M. Serva, 2003. "Spot foreign exchange market and time series," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 34(4), pages 495-500, August.
- Raberto, Marco & Scalas, Enrico & Mainardi, Francesco, 2002.
"Waiting-times and returns in high-frequency financial data: an empirical study,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 314(1), pages 749-755.
- M. Raberto & E. Scalas & F. Mainardi, 2002. "Waiting-times and returns in high-frequency financial data: an empirical study," Papers cond-mat/0203596, arXiv.org.
- Marco Raberto & Enrico Scalas & Francesco Mainardi, 2004. "Waiting-times and returns in high-frequency financial data: an empirical study," Finance 0411014, University Library of Munich, Germany.
- Jensen, M.H & Johansen, A & Petroni, F & Simonsen, I, 2004.
"Inverse statistics in the foreign exchange market,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 340(4), pages 678-684.
- M. H. Jensen & A. Johansen & F. Petroni & I. Simonsen, 2004. "Inverse Statistics in the Foreign Exchange Market," Papers cond-mat/0402591, arXiv.org, revised Mar 2004.
- D’Amico, Guglielmo & Janssen, Jacques & Manca, Raimondo, 2009. "European and American options: The semi-Markov case," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(15), pages 3181-3194.
- Mainardi, Francesco & Raberto, Marco & Gorenflo, Rudolf & Scalas, Enrico, 2000.
"Fractional calculus and continuous-time finance II: the waiting-time distribution,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(3), pages 468-481.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2000. "Fractional calculus and continuous-time finance II: the waiting-time distribution," Papers cond-mat/0006454, arXiv.org, revised Nov 2000.
- Francesco Mainardi & Marco Raberto & Rudolf Gorenflo & Enrico Scalas, 2004. "Fractional calculus and continuous-time finance II: the waiting- time distribution," Finance 0411008, University Library of Munich, Germany.
- Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model with memory for price changes," Papers 1109.4259, arXiv.org, revised Dec 2011.
- Guglielmo D'Amico & Filippo Petroni & Flavio Prattico, 2013. "Wind speed modeled as an indexed semi‐Markov process," Environmetrics, John Wiley & Sons, Ltd., vol. 24(6), pages 367-376, September.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Brecht Verbeken & Marie-Anne Guerry, 2021. "Discrete Time Hybrid Semi-Markov Models in Manpower Planning," Mathematics, MDPI, vol. 9(14), pages 1-13, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Guglielmo D'Amico & Filippo Petroni, 2013. "Multivariate high-frequency financial data via semi-Markov processes," Papers 1305.0436, arXiv.org.
- Guglielmo D'Amico & Filippo Petroni, 2012. "Weighted-indexed semi-Markov models for modeling financial returns," Papers 1205.2551, arXiv.org, revised Jun 2012.
- Guglielmo D'Amico & Filippo Petroni, 2020. "A micro-to-macro approach to returns, volumes and waiting times," Papers 2007.06262, arXiv.org.
- Guglielmo D'Amico & Filippo Petroni, 2011. "A semi-Markov model with memory for price changes," Papers 1109.4259, arXiv.org, revised Dec 2011.
- Petroni, Filippo & Serva, Maurizio, 2016. "Observability of market daily volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 838-842.
- D׳Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2015. "Reliability measures for indexed semi-Markov chains applied to wind energy production," Reliability Engineering and System Safety, Elsevier, vol. 144(C), pages 170-177.
- D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2013. "First and second order semi-Markov chains for wind speed modeling," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(5), pages 1194-1201.
- D’Amico, Guglielmo & Petroni, Filippo, 2018. "Copula based multivariate semi-Markov models with applications in high-frequency finance," European Journal of Operational Research, Elsevier, vol. 267(2), pages 765-777.
- Filippo Petroni & Maurizio Serva, 2015. "Observability of Market Daily Volatility," Papers 1503.08032, arXiv.org.
- D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2014. "Wind speed and energy forecasting at different time scales: A nonparametric approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 406(C), pages 59-66.
- Guglielmo D’Amico & Giovanni Masala & Filippo Petroni & Robert Adam Sobolewski, 2020. "Managing Wind Power Generation via Indexed Semi-Markov Model and Copula," Energies, MDPI, vol. 13(16), pages 1-21, August.
- D’Amico, Guglielmo & Petroni, Filippo & Prattico, Flavio, 2017. "Insuring wind energy production," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 542-553.
- Guglielmo D'Amico & Filippo Petroni, 2017. "A new approach to the modeling of financial volumes," Papers 1709.05823, arXiv.org.
- Guglielmo D'Amico & Ada Lika & Filippo Petroni, 2018. "Indexed Markov Chains for financial data: testing for the number of states of the index process," Papers 1802.01540, arXiv.org.
- Guglielmo D’Amico & Ada Lika & Filippo Petroni, 2019. "Change point dynamics for financial data: an indexed Markov chain approach," Annals of Finance, Springer, vol. 15(2), pages 247-266, June.
- Giovanni Masala & Filippo Petroni, 2023. "Drawdown risk measures for asset portfolios with high frequency data," Annals of Finance, Springer, vol. 19(2), pages 265-289, June.
- Zou, Yongjie & Li, Honggang, 2014. "Time spans between price maxima and price minima in stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 303-309.
- Tang, Jie & Brouste, Alexandre & Tsui, Kwok Leung, 2015. "Some improvements of wind speed Markov chain modeling," Renewable Energy, Elsevier, vol. 81(C), pages 52-56.
- Scalas, Enrico & Kaizoji, Taisei & Kirchler, Michael & Huber, Jürgen & Tedeschi, Alessandra, 2006.
"Waiting times between orders and trades in double-auction markets,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 366(C), pages 463-471.
- Enrico Scalas & Taisei Kaizoji & Michael Kirchler & Juergen Huber & Alessandra Tedeschi, 2006. "Waiting times between orders and trades in double-auction markets," Papers physics/0608273, arXiv.org.
- Schumer, Rina & Baeumer, Boris & Meerschaert, Mark M., 2011. "Extremal behavior of a coupled continuous time random walk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(3), pages 505-511.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2013-12-20 (Market Microstructure)
- NEP-ORE-2013-12-20 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1312.3894. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.