Modelling High-frequency Economic Time Series
Abstract
The minute-by-minute move of the Hang Seng Index (HSI) data over a four-year period is analysed and shown to possess similar statistical features as those of other markets. Based on a mathematical theorem [S. B. Pope and E. S. C. Ching, Phys. Fluids A {\bf 5}, 1529 (1993)], 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.
Keywords
Cite
@article{arxiv.cond-mat/0007267,
title = {Modelling High-frequency Economic Time Series},
author = {Lei-Han Tang and Zhi-Feng Huang},
journal= {arXiv preprint arXiv:cond-mat/0007267},
year = {2009}
}
Comments
To appear in Proceedings of the Dynamics Days Asia Pacific Conference, 13-16 July, 1999, Hong Kong (Physica A, 2000)