Semi-Markov Model for Market Microstructure
نویسندگان
چکیده
منابع مشابه
Semi Markov model for market microstructure
We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a suitable Markov chain, we can reproduce the strong mean-reversion of price returns known as microstructure...
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• Amihud, Mendelson and Murgia (1990) studied the impact of the stock market microstructure on return volatility and on the value discovery process in the Milan Stock Exchange; the primary trading mechanism employed by this exchange is a call market, which is usually preceded and followed by trading in a continuous market. They found that the opening transaction in the continuous market had the...
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ژورنال
عنوان ژورنال: Applied Mathematical Finance
سال: 2015
ISSN: 1350-486X,1466-4313
DOI: 10.1080/1350486x.2015.1037963