Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets

DOI10.1016/j.matcom.2015.06.006OpenAlexW830727740MaRDI QIDQ2228675

Yemei Qin, Hui Peng, Wenbiao Xie, Yanhui Xi, Xiao Hong Chen

Publication date: 19 February 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2015.06.006

zbMATH Keywords

heavy tailsMarkov chain Monte Carlo algorithmStudent-\(t\) distributiona mixture of two normal distributionsmarket microstructure model

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (3)

A fast and efficient Markov chain Monte Carlo method for market microstructure model ⋮ Modeling financial time series based on a market microstructure model with leverage effect ⋮ Modelling financial time series based on heavy-tailed market microstructure models with scale mixtures of normal distributions

Uses Software

• BUGS

Cites Work

• Unnamed Item
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