A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures Using Markov Chains
The empirical study of intraday patterns of stock trading volatilities and bid-ask spreads in the literature depends on assumptions of specific price generating process and may therefore not be robust to distributional assumptions. By creating discrete states that conform more naturally to the way p...
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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1999
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| 在線閱讀: | https://ink.library.smu.edu.sg/lkcsb_research/2268 https://doi.org/10.1016/s1042-4431(99)00010-4 |
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| 機構: | Singapore Management University |
| 語言: | English |