developed in which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning … which allows the estimation of the dependence of the intensity on the events of previous trading days. Analytic likelihoods …

which the model is specified via the vector stochastic intensity. This has the advantage that the conditioning sigma … allow the estimation of the dependence of the intensity on the events of previous trading days. Analytic likelihoods are …

of signal extracting the intensity of the trading process. We finish by studying the implication for price changes over … based models for the intensity of the trading process. …