Probability and statistical modeling of information flows in complex financial systems based on high-frequency data

A microstructure model is proposed for information flows in complex financial systems and stochastic nature of intensities of flows of claims which determines market price formation. The outer information flow with random intensity is considered separately within the proposed and statistically verified multiplicative model. This model makes it possible to analyze characteristics related to the intensities of the flows of claims and instant relation between theforcesofbuyers andsellers without modelingofexogenous information backgroundwhichispractically impossible topredict. Also, the generalized price process model is proposed which makes account of all the available information on flows of claims and admits further analytical interpretation.