High-Frequency Stock Market Order Transitions during the US-China Trade War 2018: A Discrete-Time Markov Chain Analysis

Statistical analysis of high-frequency stock market order transaction data is conducted to understand order transition dynamics. We employ a first-order time-homogeneous discrete-time Markov chain model to the sequence of orders of stocks belonging to six different sectors during the USA-China trade...

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Hauptverfasser:	Luwang, Salam Rabindrajit, Rai, Anish, Nurujjaman, Md, Prakash, Om, Hens, Chittaranjan
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Statistical Finance
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