Connectedness of high-frequency data
|Author:||Mgr. Petr Petras|
|Year:||2016 - summer|
|Leaders:|| Mgr. Tomáš Křehlík M.A., Ph.D.
|Work type:|| Economic Theory
|Awards and prizes:|
|Abstract:||This work combines discrete and continuous methods while modeling connectedness
of financial tick data. As discrete method we are using vector autoregression.
For continuous domain Hawkes process is used, which is special case
of point process. We found out that financial assets are connected in nonsymmetrical
fashion. By using two methodologies we were able to model better
how are the series connected. We confirmed existence of price leader in
our three stock portfolio and modeled connectedness of jumps between stocks.
As conclusion we state that both methods yields important results about price
nature on the market and should be used together or at least with awareness
of second approach.