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The variable surely should be the percentage volatility. Moreover, it should not be the asset volume, because the volume can be interpreted as liquidity risk proxy measure too, and, so, it should be participated in the TypeLiquidity variable (or variables set). See, for instance, at: Fong, Kingsley YL, Craig W. Holden, and Charles Trzcinka. "What are ...


I really like Philip P's work, but frankly I do not believe this paper is his best one. It is understandable you do not catch how to use it: there is no dataset in the paper, and the orders of magnitude of $\sigma dW$ and $\delta_t x$ are so different. My suggestions: some components are missing, $x$ should be a point process, for instance an Hawkes ...

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