Comparing computational approaches to the analysis of high-frequency trading data using Bayesian methods
Financial prices are usually modelled as continuous, often involving geometric Brownian motion with drift, leverage, and possibly jump components. An alternative modelling approach allows financial observations to take discrete values when they are interpreted as integer multiples of a fixed quantit...
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University of Kent
2017
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.705884 |