Levent Mengütürk

University College London

Gower Street

London, WC1E 6BT

United Kingdom

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Scholarly Papers (1)

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Modulated Information Flows in Financial Markets

Number of pages: 27 Posted: 25 Aug 2017 Last Revised: 14 May 2020
Edward Hoyle, Andrea Macrina and Levent Mengütürk
Man AHL, University College London and University College London
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Abstract:

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Filtration models, jump-diffusion dynamics, point processes, stochastic volatility, information-based modelling, asymmetric information.