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...
| Príomhchruthaitheoirí: | , |
|---|---|
| Formáid: | Journal article |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Oxford University Press
2003
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| Ábhair: |
Search Result 1
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.
Foilsithe / Cruthaithe 2003
Journal article
Search Result 2
Dynamics of trade-by-trade price movements: decomposition and models.
Foilsithe / Cruthaithe 2002
Working paper