We present a study on the dynamics of a system consisting of a pair of hardcore particles diffusing with different rates. We solved the drift–diffusion equation for this model in the case when one particle, labeled F, drifts and diffuses slowly toward the second particle, labeled M. The...

In this paper, we propose a framework for the modelling of multivariate dynamic processes which are driven by an unobservable common autoregressive component. Economically motivated by the mixture-of-distribution hypothesis, we model the multivariate intraday trading process of return...