Rydberg, Tina Hviid; Shephard, Neil - 2003
In this article we introduce a decomposition of the joint distribution of price changes of assets recorded trade …-by-trade. Our decomposition means that we can model the dynamics of price changes using quite simple and interpretable models which …). 'Dynamics of trade-by-trade price movements: decomposition and models', Journal of Financial Econometrics, 1(1), 2 …