Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (Q2228675)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets |
scientific article |
Statements
Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets (English)
0 references
19 February 2021
0 references
market microstructure model
0 references
heavy tails
0 references
Student-\(t\) distribution
0 references
a mixture of two normal distributions
0 references
Markov chain Monte Carlo algorithm
0 references
0 references
0 references
0 references
