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Persistent link: https://www.econbiz.de/10013543094

Growth optimal portfolio in a market driven by a jump-diffusion-like process or a Lévy process

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Asset pricing with multiplicative habit and power-expo preferences

Smith, William T.; Zhang, Qiang - In: Economics letters 94 (2007) 3, pp. 319-325

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A value for games on augmenting systems with a coalition structure

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Drift-independent volatility estimation based on high, low, open, and close prices

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An Extended MRR Model for Transaction-Level Analysis of High Frequency Trading Processes

Zhang, Qiang - 2017

Transaction-level analysis of security price change due to Madhavan, Richardson and Roomans (1997, hereafter MRR) has been a useful framework in financial analysis. The one order Markov property of the trade indicator variables is a key assumption in the MRR model, which contradicts the...

Persistent link: https://www.econbiz.de/10012946296