Numerical solution for market microstructure model with nonhomogeneous Poisson jump

作者：Xi Yanhui; Peng Hui^*; Ruan Chang

来源：International Journal of Digital Content Technology and Its Applications, 2012, 6(23): 560-568.

DOI：10.4156/jdcta.vol6.issue23.64

• Discrete time
• Estimation methods
• Market microstructures
• Maximum likelihood methods
• Non-homogeneous Poisson process
• Nonhomogeneous poisson
• Nonparametric methods
• Numerical solution
• Poisson process

This paper develops a discrete time microstructure jump model with nonhomogeneous Poisson process. Because the jump intensity is changed with time, the jumps are detects using a new nonparametric method proposed by Suzanne S. Lee. On the basis of this analysis, its parameters are estimated by combination of extended Kalman filter(EKF) and maximum likelihood (ML) method. Simulation results and case study show the effectiveness of the estimation method.

• 出版日期2012
• 单位中南大学