Estimating Prices Transition Rate with Ultra-High-Frequency Data
AbstractUltra-high-frequency data is defined to be a full record of transactions and their associated characteristics. In this paper marked point processes are applied to describe ultra-high-frequency data. By producing general marked point process sample function density, inserting the Markov process, which describes prices transition into the marked point process, prices transition rate is estimated by ML
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 Far Eastern Meetings with number 673.
Date of creation: 11 Aug 2004
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Prices transition rate marked point processes ultra-high-frequency data;
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- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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