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| Analiza danych wysokiej częstotliwości i mikrostruktury rynku× | Model skokowo-dyfuzyjny Mertona× | |
|---|---|---|
| Dziedzina | Finanse | Finanse |
| Rodzina | Regression model | Regression model |
| Rok powstania≠ | 2007 | 1976 |
| Twórca≠ | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) | Robert C. Merton |
| Typ≠ | Market microstructure / high-frequency econometrics | Continuous-time asset price model (diffusion plus Poisson jumps) |
| Źródło pierwotne≠ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 | Merton, R. C. (1976). Option Pricing When Underlying Stock Returns Are Discontinuous. Journal of Financial Economics, 3(1–2), 125–144. DOI ↗ |
| Inne nazwy≠ | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı | Merton jump-diffusion, jump-diffusion process, Atlama Difüzyon Modeli (Merton Jump-Diffusion) |
| Pokrewne≠ | 5 | 4 |
| Podsumowanie≠ | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). | The Merton Jump-Diffusion model, introduced by Robert C. Merton in 1976, extends Geometric Brownian Motion by adding sudden price jumps generated by a Poisson process. It captures the volatility smile and the fat-tailed return behaviour that standard Black-Scholes cannot explain, and is widely used in option pricing and risk management. |
| ScholarGateZbiór danych ↗ |
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