Abstract
A model for intraday stock price movements is considered. The jump-intensity of the logreturn process is a function of the whole history of a hidden marked point process. The aim is to find the conditional law of such intensity given the history of the logreturn process. Under a Markovianity assumption, related with the weak form of market efficiency, classical filtering techniques are used. The law of the jump-intensity, given the history of the logreturn price, is evaluated and a discussion on a particular case is performed.
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Gerardi, A., Tardelli, P. Filtering on a Partially Observed Ultra-High-Frequency Data Model. Acta Appl Math 91, 193–205 (2006). https://doi.org/10.1007/s10440-006-9038-1
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DOI: https://doi.org/10.1007/s10440-006-9038-1