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...
| Những tác giả chính: | , |
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| Định dạng: | Journal article |
| Ngôn ngữ: | English |
| Được phát hành: |
Oxford University Press
2003
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| Những chủ đề: |
Search Result 1
Dynamics of Trade-by-Trade Price Movements: Decomposition and Models.
Được phát hành 2003
Journal article
Search Result 2
Dynamics of trade-by-trade price movements: decomposition and models.
Được phát hành 2002
Working paper