Dynamics of trade-by-trade price movements: decomposition and models.
In this paper we introduce a decomposition of the joint distribution of price changes of assets recorded trade--by--trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which are easily extended in a great number of directions, in...
| Main Authors: | , |
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| Format: | Working paper |
| Language: | English |
| Published: |
Nuffield College (University of Oxford)
2002
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