A discrete-time model of high-frequency stock returns

2004 ◽  
Vol 4 (2) ◽  
pp. 140-150 ◽  
Author(s):  
Takaki Hayashi
Author(s):  
Zhiyong Qiao ◽  
Shunli Wang ◽  
RongHai Wang ◽  
Yile Shi ◽  
Nan Zhang ◽  
...  

The high-power Asymmetric half-bridge Converter (AHBC) LED constant current driver controlled by digital current mode is a fourth-order system. Static operating point, parasitic resistance, load characteristics, sampling effect, modulation mode and loop delay will have great influence on its dynamic performance. In this paper, the small-signal pulse transfer function of the driver is established by the discrete-time modeling method for the two operating points corresponding to the three modulation modes of the trailing edge, leading edge and double edge. And, the effects of parasitic parameters, delay effect, sampling effect and load effect are fully considered in modeling. For a large number of complex exponential matrix operations, the first order Taylor formula is used for approximate calculation after the coefficient matrix is obtained by substituting the data. Then, Matlab software is used to compare and analyze the discrete-time model and the discrete-average model. The results show that the proposed discrete-time model can more accurately characterize the resonant peak and high-frequency dynamic characteristics, and is very suitable for the design of high frequency digital controller.


2021 ◽  
Vol 58 (1) ◽  
pp. 197-216 ◽  
Author(s):  
Jörn Sass ◽  
Dorothee Westphal ◽  
Ralf Wunderlich

AbstractThis paper investigates a financial market where stock returns depend on an unobservable Gaussian mean reverting drift process. Information on the drift is obtained from returns and randomly arriving discrete-time expert opinions. Drift estimates are based on Kalman filter techniques. We study the asymptotic behavior of the filter for high-frequency experts with variances that grow linearly with the arrival intensity. The derived limit theorems state that the information provided by discrete-time expert opinions is asymptotically the same as that from observing a certain diffusion process. These diffusion approximations are extremely helpful for deriving simplified approximate solutions of utility maximization problems.


2009 ◽  
Vol 33 (6) ◽  
pp. 713-732
Author(s):  
Adam Bobrowski ◽  
Marek Kimmel ◽  
Małgorzata Kubalińska

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