Justin Yang

Harvard University - Department of Statistics

Science Center 7th floor

One Oxford Street

Cambridge, MA 02138-2901

United States

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Scholarly Papers (1)

1.

Continuous Time Analysis of Fleeting Discrete Price Moves

Number of pages: 35 Posted: 10 Dec 2014
Neil Shephard and Justin Yang
Harvard University and Harvard University - Department of Statistics
Downloads 38 (452,815)
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Abstract:

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integer-valued stochastic process, Lévy basis, Lévy process, trawl process, market microstructure, realized variance, variance signature plot