Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain - an approach in terms of the total “$\rho$-variation" -

DOI10.14495/jsiaml.2.103zbMath1271.91057OpenAlexW2004391949MaRDI QIDQ2843149

Kazuo Kishimoto, Meng Li

Publication date: 9 August 2013

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://www.jstage.jst.go.jp/A_PRedirectJournalInit?sryCd=jsiaml&kijiCd=2_0_103&screenID=AF06S010&noVol=2&noIssue=0

zbMATH Keywords

futuresMarkov random walkbid/ask pricetotal \(\rho\)-variation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Statistical methods; economic indices and measures (91B82)

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