Non-stationarity in transaction activity on the Warsaw Stock Exchange Cover Image

Niestacjonarność aktywności transakcyjnej na Giełdzie Papierów Wartościowych w Warszawie
Non-stationarity in transaction activity on the Warsaw Stock Exchange

Author(s): Paweł Kliber
Subject(s): Economy
Published by: Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
Keywords: high-frequency data; tick-by-tick data; Skellama process; ΔNB-Levy process

Summary/Abstract: In the paper we analyze high-frequency data for few instruments from the Warsaw Stock Exchange. We use Skellam processes and ΔNB-Lévy processes to model tick-by-tick data. Having tried different assumptions considering periodicity and stationarity of the data generating process, we conclude that there exists a non-stationary factor which cannot be explained by periodicity of trading. This non-stationary component is the reason why tick-bytick data reveals some statistical properties that are characteristics for long-memory processes.

  • Issue Year: 2012
  • Issue No: 254
  • Page Range: 93-102
  • Page Count: 10
  • Language: Polish