Modelling Information Flows in Financial Markets
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Publication:5072621
DOI10.1142/9789811246494_0008zbMath1489.91248arXiv1004.4822WikidataQ56813067 ScholiaQ56813067MaRDI QIDQ5072621
Dorje C. Brody, Lane P. Hughston, Andrea Macrina
Publication date: 29 April 2022
Published in: Financial Informatics, Advanced Mathematical Methods for Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1004.4822
signal; stochastic volatility; Brownian bridge; price formation; information filter; information-based asset pricing; statistical arbitrage; market noise; cash-flow structure
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