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A stochastic calculus model of continuous trading: Complete markets

โœ Scribed by J.Michael Harrison; Stanley R. Pliska


Publisher
Elsevier Science
Year
1983
Tongue
English
Weight
449 KB
Volume
15
Category
Article
ISSN
0304-4149

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We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random walk (CTRW) framework. The probability distribution of the stoc