Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets
DOI10.1016/J.MATCOM.2015.06.006OpenAlexW830727740MaRDI QIDQ2228675FDOQ2228675
Authors: Yanhui Xi, Hui Peng, Yemei Qin, Wenbiao Xie, Xiaohong Chen 
Publication date: 19 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2015.06.006
heavy tailsStudent-\(t\) distributionMarkov chain Monte Carlo algorithma mixture of two normal distributionsmarket microstructure model
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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Cited In (3)
- Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions
- A fast and efficient Markov chain Monte Carlo method for market microstructure model
- Modeling financial time series based on a market microstructure model with leverage effect
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