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Estimating probability of informed trading on the Bucharest stock exchange

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Persistent link: https://www.econbiz.de/10011618713

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A Markov-switching multifractal inter-trade duration model, with application to US equities

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Financial price fluctuations in a stock market model with many interacting agents

Horst, Ulrich - 2001

We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...

Persistent link: https://www.econbiz.de/10009613599