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  • Search: subject:"auto-induced regime switching diffusions"
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Estimation 1 Handelsvolumen der Börse 1 Markov chain 1 Markov-Kette 1 Schätzung 1 Theorie 1 Theory 1 Trading volume 1 auto-induced regime switching diffusions 1 liquidity 1 price 1 regime switching diffusions 1 volume of transactions 1
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CC license 1 Free 1
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Article in journal 1 Aufsatz in Zeitschrift 1
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English 1
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Esquível, Manuel L. 1 Krasii, Nadezhda P. 1 Mota, Pedro P. 1 Shamraeva, Victoria V. 1
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Risks : open access journal 1
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ECONIS (ZBW) 1
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Coupled price-volume equity models with auto-induced regime switching
Esquível, Manuel L.; Krasii, Nadezhda P.; Mota, Pedro P.; … - In: Risks : open access journal 11 (2023) 11, pp. 1-20
In this work, we present a rigorous development of a model for the Price-Volume relationship of transactions introduced in 2009. For this development, we rely on the precise formulation of diffusion auto-induced regime-switching models presented in our previous work of 2020. The auto-induced...
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