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A common practice in modeling intertrade durations is to use various hazard functions for data fitting. This paper calls into question this practice and suggests mixing the hazard function as exponential. An underlying hypothesis of the suggestion is that duration data have a mixture of...
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Option is an important financial derivative. Accurate option pricing is essential to the development of financial markets. For option pricing, existing time series models and neural networks are difficult to extract multi-scale temporal features from option data, which greatly limits their...
Persistent link: https://www.econbiz.de/10014514028