Modeling the coupled return-spread high frequency dynamics of large tick assets

DOI10.1088/1742-5468/2015/01/P01028zbMath1456.91131arXiv1310.4539OpenAlexW2038713952MaRDI QIDQ3302105

Gianbiagio Curato, Fabrizio Lillo

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.4539

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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