MPS-RR 2001-41
November 2001

Electronic foreign exchange markets and level passage events of multivariate subordinators

by:

Matthias Winkel

Abstract

We formulate a model for electronic foreign exchange markets suggesting subordinators to represent sellers' and buyers' offers. Its analysis naturally leads to studying level passage events. The classical level passage event concerns the joint law of the time, height and jump size observed when a real-value stochastic process first exceeds a given level $h$. We provide an up to date treatment when this process is a subordinator, and extend these results to multivariate subordinators. More precisely, given a multivariate subordinator, we describe the events when certain components pass individual levels.

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