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Modelling price pressure in financial markets

✍ Scribed by Elena Asparouhova; Peter Bossaerts


Book ID
116635575
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
355 KB
Volume
72
Category
Article
ISSN
0167-2681

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Based on the new type of random walk process called the potentials of unbalanced complex kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2Γ°2 ΓΎ bÞ Γ€1 times, where b is the coefficient of quadratic term of the potential. In short time scales the price