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This paper builds a model of high-frequency equity returns by separately modeling the dynamics of trade-time returns …-frequency asset returns both in ordinary clock time and in trade time. We show that when controlling for pre-scheduled market news … events, trade-time returns of the near-month E-mini S&P 500 futures contract are well characterized by a Gaussian …
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An informative guide to financial investment discusses the current high-tech boom, explains how to maximize gains and minimize losses, and examines a broad spectrum of financial opportunities, from mutual funds to real estate to gold
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