A New Methodology for Studying Intraday Dynamics of Nikkei Index Futures Using Markov Chains

• المؤلفون الرئيسيون: Wang, SY, Lim, Kian Guan, Chang, C. W.
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 1999
• الموضوعات: Markov chains; Intraday patterns; Nikkei index; Derivatives; Business
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/2268; https://doi.org/10.1016/s1042-4431(99)00010-4
• المؤسسة: Singapore Management University

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...