Dynamics of trade-by-trade price movements: decomposition and models

Dynamics of trade-by-trade price movements: decomposition and models

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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...

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Bibliografiske detaljer
Main Authors:	Rydberg, T, Shephard, N
Format:	Journal article
Sprog:	English
Udgivet:	Oxford University Press 2003
Fag:	Econometrics Economics

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