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 US–China trade...

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Chaos (Woodbury, N.Y.) N.Y.), 2024-01, Vol.34 (1)
Hauptverfasser:	Rabindrajit Luwang, Salam, Rai, Anish, Nurujjaman, Md, Prakash, Om, Hens, Chittaranjan
Format:	Artikel
Sprache:	eng
Schlagworte:	Banking Chi-square test Markov analysis Markov chains Maximum likelihood estimation Securities markets Statistical analysis Trade disputes Transition probabilities Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!