Trawl Processes

Abstract

A particular simple case of ambit fields are the trawl processes, which we study in this chapter. Such (purely temporal) processes are constructed by evaluating a Lévy basis over stationary ambit sets. Trawl processes, although very simplistic, provide an amazingly rich family of stationary stochastic processes in time, where the temporal dependence structure is specified through the ambit sets. An application to high-frequency financial time series data demonstrates the flexibility and attractiveness of trawl processes.