Testing the Markov property with high frequency data

Keyphrases

• Transaction Data 100%
• Asymmetric Information 100%
• Price Duration 100%
• Markov Process 100%
• Markov Property 100%
• High-frequency Data 100%
• Motivation 50%
• Nonparametric Test 50%
• Monte Carlo Simulation 50%
• Information Model 50%
• Finite Sample 50%
• Bootstrap 50%
• Market Microstructure 50%
• Independence Property 50%
• Current Prices 50%
• Size-dependent Properties 50%
• Power Properties 50%
• New York Stock Exchange 50%
• Discrete Level 50%
• Asymptotic Test 50%
• Financial Transaction Data 50%
• Conditional Independence 50%
• Size Distortion 50%
• Continuous-time Markov Process 50%
• Markov Assumption 50%
• Optional Sampling 50%
• Reasonable Size 50%

Mathematics

• Markov Process 100%
• Asymmetric 100%
• Markov Property 100%
• High-Frequency Data 100%
• Monte Carlo Method 50%
• Asymptotics 50%
• Conditional Independence 50%
• Nonparametric Test 50%
• Time Markov Process 50%
• Empirical Illustration 50%
• Continuous Time 50%
• Discrete Level 50%
• New York Stock Exchange 50%

Economics, Econometrics and Finance

• Price 100%
• High-Frequency Data 100%
• Asymmetric Information 66%
• Monte Carlo Simulation 33%
• Stock Exchange 33%
• Market Microstructure 33%
• Nonparametric 33%
• Continuous Time 33%