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Modeling marked point processes with an application to currency exchange rates.

机译：通过对货币汇率的应用来对标记的流程进行建模。

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摘要

We present a model for marked point processes with time-dependent internal or external covariates. The goal is to estimate the log-intensity of the jumps in the point process via maximum likelihood estimation. We show that under certain boundary conditions, the problem fits into the general framework of concave extended linear modeling developed by Huang (2000) and the extension of this framework by Stone and Huang (2000) to handle free knot splines. An adaptive methodology for the empirical application of the framework to jump processes is implemented in C++ and used to analyze high frequency data on currency exchange rates. We test the hypothesis of time endogeneity between exchange rate movements presented by theoretical microstructure information models and study volatility patterns attributed to calendar effects, macroeconomics news announcements, and GARCH effects. For the purpose of asset pricing, we also attempt to build upon the theoretical foundations for the convergence of jump processes to diffusions.

机译：我们提出了一个带有时间依赖的内部或外部协变量的标记点过程模型。目的是通过最大似然估计来估计点过程中跳跃的对数强度。我们表明，在某些边界条件下，该问题适合于Huang（2000）开发的凹面扩展线性建模的一般框架，以及Stone和Huang（2000）对该框架的扩展以处理自由结样条。在C ++中实现了一种用于框架跳变过程的经验应用的自适应方法，并用于分析有关汇率的高频数据。我们测试理论微观结构信息模型提出的汇率变动之间的时间内生性假说，并研究归因于日历效应，宏观经济新闻公告和GARCH效应的波动率模式。出于资产定价的目的，我们还尝试在理论基础上建立跳跃过程到扩散过程的收敛性。

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作者
Li, Wei.;
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作者单位

University of California, Berkeley.;

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授予单位 University of California, Berkeley.;
学科 Statistics.;Economics Finance.
学位 Ph.D.
年度 2000
页码 93 p.
总页数 93
原文格式 PDF
正文语种 eng
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1. Definition of distance for marked point process data and its application to recurrence plot-based analysis of exchange tick data of foreign currencies [J] . Suzuki S., Hirata Y., Aihara K. International journal of bifurcation and chaos in applied sciences and engineering . 2010,第11期

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2. Weak convergence of marked point processes generated by crossings of multivariate jump processes. Applications to neural network modeling [J] . Massimiliano Tamborrino, Laura Sacerdote, Martin Jacobsen Physica, D. Nonlinear phenomena . 2014,第Null期

机译：多元跳跃过程交叉产生的标记点过程弱收敛。在神经网络建模中的应用
3. An Asymptotic Expansion Approach to Currency Options with a Market Model of Interest Rates under Stochastic Volatility Processes of Spot Exchange Rates [J] . Akihiko Takahashi, Kohta Takehara Asia-Pacific Financial Markets . 2007,第1a2期

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4. Application of fuzzy regression models to predict exchange rates for composite currencies [C] . Ghoshray, S. . 1996

机译：模糊回归模型在复合货币汇率预测中的应用
5. An application of the feedforward neural network model in currency exchange rate forecasting. [D] . Ye, Julia Xiaozhu. 1994

机译：前馈神经网络模型在货币汇率预测中的应用。
6. Use of experimental isotope-exchange fluxes in reversible enzyme and membrane transport models assessed by simultaneous computer simulation of unidirectional and net chemical rates. [O] . I W Plesner 1992

机译：实验性同位素交换通量在可逆酶和膜传输模型中的使用通过同时模拟单向和净化学速率来评估。
7. Weak convergence of marked point processes generated by crossings of multivariate jump processes. Applications to neural network modeling [O] . Tamborrino Massimiliano, Sacerdote Laura, Jacobsen Martin 2014

机译：多元跳跃过程交叉产生的标记点过程弱收敛。在神经网络建模中的应用

Modeling marked point processes with an application to currency exchange rates.

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