Dynamics of trade-by-trade price movements: decomposition and models
In this article 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...
| Hlavní autoři: | , |
|---|---|
| Médium: | Journal article |
| Jazyk: | English |
| Vydáno: |
Oxford University Press
2003
|
| Témata: |