A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs

DOI10.1016/j.na.2005.06.051zbMath1118.91052MaRDI QIDQ2581718

Kam-Wah Tsui, Robert Spalding, Yong Zeng

Publication date: 10 January 2006

Published in: Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.na.2005.06.051

zbMATH Keywords

Bayesian inference; Counting process; High-frequency data; Price clustering

Mathematics Subject Classification ID

Related Items

Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price, Risk Minimization for a Filtering Micromovement Model of Asset Price

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