Limit Laws in Transaction-Level Asset Price Models
|Abstract:||We consider pure-jump transaction-level models for asset prices in continuous time, driven by point processes. In a bivariate model that admits cointegration, we allow for time deformations to account for such effects as intraday seasonal patterns in volatility, and non-trading periods that may be different for the two assets. Most assumptions are stated directly on the point process, though we provide sufficient conditions on the corresponding inter-trade durations for these assumptions to hold. We obtain the asymptotic distribution of the log-price process. We also obtain the asymptotic distribution of the ordinary least-squares estimator of the cointegrat- ing parameter based on data sampled from an equally-spaced discretization of calendar time, in the case of weak fractional cointegration. Finally, we obtain the limiting distribution of the ordinary least-squares estimator of the autoregressive parameter in a simplified transaction-level univariate model with a unit root.|
|Appears in Collections:||IOMS: Statistics Working Papers|
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