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...
Saved in:
| Main Authors: | , , |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1999
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/2268 https://doi.org/10.1016/s1042-4431(99)00010-4 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |
Be the first to leave a comment!