Microstructure Models with Short-Term Inertia and Stochastic Volatility
Partially observed microstructure models, containing stochastic volatility, dynamic trading noise, and short-term inertia, are introduced to address the following questions: (1) Do the observed prices exhibit statistically significant inertia? (2) Is stochastic volatility (SV) still evident in the p...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2015-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2015/323475 |