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

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.

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