Alvarez, Fernando; Le Bihan, Hervé; Lippi, Francesco - C.E.P.R. Discussion Papers - 2013
parameters. We dis- cuss the identification of these parameters using data on the size-distribution of price changes and the … the US. After correcting for measurement error and cross-section heterogeneity we find that the size distribution of price … changes has a positive excess kurtosis, with a shape that lies between a Normal and a Laplace distribution. We propose a model …