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Search: subject:"Signature plot"
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Markov renewal process
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Microstructure noise
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Scaling limit
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Signature plot
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Fodra, Pietro
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Pham, Huyên
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Semi Markov model for market microstructure
Fodra, Pietro
;
Pham, Huyên
-
HAL
-
2013
obtain closed-form formula for the mean
signature
plot
, and show the diffusive behavior of our model at large scale limit. We …
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