Derivatives pricing with marked point processes using Tick-by-tick dataR
Year of publication: |
2010-04
|
---|---|
Authors: | Cartea, Álvaro |
Institutions: | Departamento de Economía de la Empresa, Universidad Carlos III de Madrid |
Subject: | Tick-by-tick data | Waiting-times | Duration | High frequency data | Caputo operator | Marked point process |
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