Estimating Prices Transition Rate with Ultra-High-Frequency Data
Ultra-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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|Date of creation:||11 Aug 2004|
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