Long memory in volatility and trading volume
โ Scribed by Jeff Fleming; Chris Kirby
- Book ID
- 116615783
- Publisher
- Elsevier Science
- Year
- 2011
- Tongue
- English
- Weight
- 273 KB
- Volume
- 35
- Category
- Article
- ISSN
- 0378-4266
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
The aim of this work is to take into account the effects of long memory in volatility on derivative hedging. This idea is an extension of the work by Fedotov and Tan [Stochastic long memory process in option pricing, Int. J. Theor. Appl. Finance 8 (2005) 381-392] where they incorporate long-memory s
Trading imbalances reflect the quality of market information and may contain more information than the number of trades or trading volume. In order to better understand how trading imbalances play a role different from traditional variables (i.e., number of trades and trading volume) in explaining v