Information loss in volatility measurement with flat price trading
A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. Th...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/1264 https://ink.library.smu.edu.sg/context/soe_research/article/2263/viewcontent/SSRN_id954571.pdf |
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| Institution: | Singapore Management University |
| Language: | English |