Filtering with Marked Point Process Observations: Application to the Econometrics of Ultra-High Frequency Data

This is also the website for Princeton ORFE-569 (Spring 2007): Special Topics in Statistics and Operations Research: Statistical Analysis of Ultra-high Frequency Financial Data - An Overview and A New Filtering Approach

A more detailed course description (10/2/2006)

Slides for a talk at Financial Mathematics Seminar in University of Chicago (11/17/2006)

Syllabus (02/06/2007)

Slides of Lecture 1 - Overview (02/06/2007)

Lab Assignment 1 (assigned on 02/08/2007)

Sample program 1 for Lab 1 (02/08/2007): An old SAS code for an old IBM tick data set: convert time stamp

Sample program 2 for Lab 1 (02/08/2007): An old S code for an old processed MSFT tick data set: plots

Homework 1 (assigned on 02/15, 20/2007) Partial Answers to Homework 1

Lab Assignment 2 (assigned on 02/27/2007) Possible Models for choosing

Sample program 1 for Lab 2 (02/26/2007): An old S code for a GBM micromovement model in Zeng (2003)

Sample program 2 for Lab 2 (02/26/2007): An old S code for a GBM micromovement model in Zeng (2004) (a simpler biasing function).

Sample program 3 for Lab 2 (02/26/2007): An old S code for a JSV-GBM micromovement model in Zeng (2004)

Homework 2 (assigned on 02/27/2007) Partial Answers to Homework 2

Lab Assignment 3 (assigned on 03/13/2007)

Sample programs for Lab 3 (Group One) : See below for Zeng (2003) plus prg16.f A more efficient program.

prg12ed1.f Trade-by-trade Bayes estimates. be.r S-code to draw plots.

Sample program for Lab 3 (Groupl Two): GBM Filtering Micromovement Model with a simpler biasing function in Zeng (2004) bayes-gbm-Zeng04.f

Sample programs for Lab 3 (Group Three): See below for Zeng (2004).

Homework 3 (assigned on 03/13/2007) Partial Answers to Homework 3

Presentation and Paper List (assigned on 04/10/2007)

Homework 4 (assigned on 04/17/2007) Partial Answers to Homework 4 (coming soon)

Lab Assignment 4 (assigned on 04/17/2007)

Sample programs for Lab 4 (Group One) : See below for Kouritzin and Zeng (2005) and bfed1.f Trade-by-trade Bayes factor.

Final Term Paper (assigned on 04/17/2007)

The research reported in these publications was supported in part by the National Science Foundation. Any opinions, findings, and conclusions or recommendations expressed in this material are those of the author(s) and do not necessarily reflect the views of the National Science Foundation.

New Slides:

A Talk given at The Tenth Annual Financial Econometrics Conference - "The Econometrics of Ultra High Frequency Data in Finance", March 7, 2008. Slide

New Manuscripts:

"A Branching Particle Approximation to the Filtering Problem with Counting Process Observations", (with Jie Xiong ) Submitted. text.

"Risk Minimization for a Filtering Micromovement Model of Asset Price", (with Kiseop Lee ) Submitted. text (Version Dec. 2006).

A Special Case: Filtering with Counting Process Observations and Bayesian Inference via Filtering for a Class of Micro-movement Models of Asset Price

Two Key Papers (Related Fortran programs and illustrative data sets are available.)

"A Partially-Observed Model for Micro-movement of Asset Prices with Bayes Estimation via Filtering", Mathematical Finance , (2003), Vol. 13, pp. 411-444. link .
Fortran programs: bayes-gbm.f and par12.f . A Simulated Data Set: smlt9403.dat . A Real Data Set: MicroSoft, March, 1994: msft9403dt.dat .

"Bayesian Model Selection via Filtering for a Class of Micro-movement Models of Asset Price"
(with M. Kouritzin), International Journal of Theoretical and Applied Finance, (2005) Vol.8 No.1, pp. 97-122. link .
Fortran programs: bayesfactors-jsvgbm-gbm.f and parbf.f . A Simulated Data Set: smlt-jsvgbm.dat . A Real Data Set: MicroSoft, January and Feburary, 1994: MSFT940102.dat .

Other Related Papers

"Bayes Estimation via Filtering Equation for O-U Process with Discrete Noises: Application to the Micro-Movement of Stock Prices" (with Laurie C. Scott), " Stochastic Theory and Control", Bozenna Pasik-Duncan Ed., Lecture Notes in Control and Information Sciences, 280, Springer, (2002) pp. 533-548. text(pdf) .

"Estimating Stochastic Volatility via Filtering for the Micro-movement of Asset Prices", IEEE Transactions on Automatic Control, (2004) Vol. 49(3), pp. 338-348. link .
Fortran programs: bayes-jsvgbm.f and par-jsvgbm.f . A Simulated Data Set: smlt-jsvgbm.dat.gz . A Real Data Set: MicroSoft, January and Feburary, 1994: MSFT940102.dat.gz .

"Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price", Statistical Inference for Stochastic Processes, (2005) Vol. 8(3) pp. 331 - 354. link .
Fortran programs: bayes-jsvlbm.f and par-jsvlbm.f . A Simulated Data Set : smlt-jsvlbm.dat.gz . A Real Data Set: MicroSoft, January and Feburary, 1994: MSFT 940102.dat.gz .

"Weak Convergence for a Type of Conditional Expectation: Application to the Inference for a Class of Asset Price Models", (with M. Kouritzin), Nonlinear Analysis: Theory, Methods and Applications, (2005) Volume 60(2) pp. 231--239. text , link .

"Bayes Estimation via Filtering for a Simple Micro-movement Model of Asset Price with Discrete Noises", Nonlinear Analysis: Theory, Methods and Applications, (2005) Volume 63 pp. e2009-e2019. link .
Fortran programs: bayes-lbm.f and par-lbm.f . A Real Data Set: MicroSoft, January and Feburary, 1994: MSFT 940102.dat.gz .

"A Micromovement Model with Bayes Estimation via Filtering: Application to Measuring Trading Noises and Trading Cost", (with K. W. Tsui and R. Spalding), Nonlinear Analysis: Theory, Methods and Applications. (2006) Volume 64 (2) pp. 295-309. text , link .