Quantized price volatility model for transaction data

Financial markets are diversifying dynamical systems with many constraints. Price movements are modeled in terms of the size of the tick, the number of trades, and several other constraints. The multiplicity is a bridge between the distribution of pips and the macro properties of dynamical systems....

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Veröffentlicht in:	Evolutionary and institutional economics review 2017-12, Vol.14 (2), p.397-408
1. Verfasser:	Moriya, Hiroyuki
Format:	Artikel
Sprache:	eng
Schlagworte:	Dynamical systems Economic theory Prices Probability Probability distribution Random variables Securities markets Volatility
Online-Zugang:	Volltext
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