Forecasting tick-by-tick price movements - Paola Zuccolotto - Vita e Pensiero - Articolo Statistica & Applicazioni

Forecasting tick-by-tick price movements

digital Forecasting tick-by-tick price movements
Article
Journal STATISTICA & APPLICAZIONI
Issue STATISTICA & APPLICAZIONI - 2004 - 1
Title Forecasting tick-by-tick price movements
Author
Publisher Vita e Pensiero
Format Article | Pdf
Online da 09-2017
Issn 1824-6672 (print) | 2283-6659 (digital)
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This paper proposes a new technique aimed to forecasting the price movements in the context of ultra-high frequency data, based on the theory of ACD models. The approach to the problem consists in the use of the conditional means of different financial durations to calculate the probabilities of price movements, as an alternative to the traditional custom in specifying a parametric model for the dynamics of price. An application is presented on a stock of Italian financial market.

Keywords: Ultra-high frequency data, durations, ACD models, price movements.

Author biography

Paola Zuccolotto, Dipartimento Metodi Quantitativi – Università degli Studi di Brescia – C.da S. Chiara, 50, 25122 BRESCIA (e-mail: zuk@eco.unibs.it).