D’Amico, Guglielmo; Petroni, Filippo - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 20, pp. 4867-4876
We study the high frequency price dynamics of traded stocks by a model of returns using a semi-Markov approach. More precisely we assume that the intraday returns are described by a discrete time homogeneous semi-Markov process and the overnight returns are modeled by a Markov chain. Based on...