The development of a feasible and flexible model for the intraday transaction process is an ongoing topic in the empirical analysis of market microstructure. This work attempts to modify and extend the models of the transaction process suggested by Rydberg and Shephard (1998) and Russell and...

This paper develops the Bayesian model selection based on Bayes factor for a rich class of partially-observed micro-movement models of asset price. We focus on one recursive algorithm to calculate the Bayes factors, first deriving the system of SDEs for them and then applying the Markov chain...