Anzeige
Erschienen in:
2011 | OriginalPaper | Buchkapitel
The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance
verfasst von : Christian Y. Robert, Mathieu Rosenbaum
Erschienen in: Econophysics of Order-driven Markets
Verlag: Springer Milan
Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.
Wählen Sie Textabschnitte aus um mit Künstlicher Intelligenz passenden Patente zu finden. powered by
Markieren Sie Textabschnitte, um KI-gestützt weitere passende Inhalte zu finden. powered by
The goal of this note is to describe a model for ultra high frequency prices and durations, the model with uncertainty zones developed in [
27
]. We also give some results from [
28
] and [
29
] which show how it can be used in practice for statistical estimation or in order to hedge derivatives. Before introducing this model, we briefly recall the classical approaches of price modelling in the so-called microstructure noise literature.