Search Results - subject:"Doubly stochastic binomial point process"

McCulloch, James - Finance Discipline Group, Business School - 2012

Ane and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a 'stylized...

Persistent link: https://www.econbiz.de/10010568847

Fractal market time

McCulloch, James - In: Journal of Empirical Finance 19 (2012) 5, pp. 686-701

Ané and Geman (2000) observed that market returns appear to follow a conditional Gaussian distribution where the conditioning is a stochastic clock based on cumulative transaction count. The existence of long range dependence in the squared and absolute value of market returns is a ‘stylized...

Persistent link: https://www.econbiz.de/10010594255

Fractal market time

McCulloch, James - In: Journal of empirical finance 19 (2012) 5, pp. 686-701

Persistent link: https://www.econbiz.de/10009700607

Relative volume as a doubly stochastic binomial point process

McCulloch, James - In: Quantitative Finance 7 (2007) 1, pp. 55-62

identify the random intensity component of the doubly stochastic binomial point process and closely related Cox point process. … conditionally has a binomial distribution and is a novel generalization of a binomial point process: the doubly stochastic binomial … point process. Re-scaling the intra-day traded volume to a relative volume between 0 (no volume traded) and 1 (daily trading …

Persistent link: https://www.econbiz.de/10005495799