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

Filtering with Marked Point Process Observations:

Application to the Econometrics of Ultra-High Frequency Data

Papers:

Xing Hu , David Kuipers and Y.Z., "Econometric Analysis via Filtering for Ultra-High Frequency Data", submitted. text.

Wei Sun , Y.Z. and Shu Zhuang, "Filtering with Marked Point Process Observations via Poisson Chaos Expansion", submitted. text.

Jie Xiong and Y.Z., "A Branching Particle Approximation to the Filtering Problem with Counting Process Observations", Statistical Inference for Stochastic Processes, 2011, vol 14, pp. 111 - 140. link and text.

Laurie C. Scott and Y.Z., "Filtering with Counting Process Observations: Application to the Statistical Analysis of the Micromovement of Asset Price", in Handbook of Nonlinear Filtering edited by Dan Crisan and Boris Rozovsky, Oxford University Press, pp. 1019 - 1046, 2011. link and text.

Kiseop Lee and Y.Z., "Risk Minimization for a Filtering Micromovement Model of Asset Price", Applied Mathematical Finance , 2010, 17, 177-199. link and text

Laurie C. Scott and Y.Z., "A Class of Multivariate Micromovement Models of Asset Price and their Bayesian Model Selection via Filtering", in Markov Processes and Related Topics - a Festschrift for Thomas G. Kurtz edited by S. Ethier, J. Feng and R. Stockbridge, Institute of Mathematical Statistics Collections, 2008, 4, 123-136. link with text.

Robert Spalding, Kam-Wah Tsui and Y.Z., "A Micromovement Model with Bayes Estimation via Filtering: Application to Measuring Trading Noises and Trading Cost", Nonlinear Analysis: Theory, Methods and Applications. 2006, 64, 295-309. text , link .

Y.Z. "Bayesian Inference via Filtering for a Class of Counting Processes: Application to the Micromovement of Asset Price", Statistical Inference for Stochastic Processes, 2005, 8, 331 - 354. link and text (pdf).
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: MSFT940102.dat.gz .

Michael Kouritzin and Y.Z., "Bayesian Model Selection via Filtering for a Class of Micro-movement Models of Asset Price", International Journal of Theoretical and Applied Finance, 2005, 8, 97-122. link . text (pdf).
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 .

Michael Kouritzin and Y.Z., "Weak Convergence for a Type of Conditional Expectation: Application to the Inference for a Class of Asset Price Models", Nonlinear Analysis: Theory, Methods and Applications, 2005, 60, 231--239. text , link .

Y.Z., "Estimating Stochastic Volatility via Filtering for the Micro-movement of Asset Prices", IEEE Transactions on Automatic Control, 2004, 49, 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 . text (pdf).

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

Slides:

A Talk given at "Modeling High Frequency Data in Finance" Conference at Stevens Institute of Technology, J uly 10 - 12, 2009. Slide

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

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)