Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets-Reference-Cited by-同舟云学术

Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets

Published:2015-11 Issue: Volume:117 Page:141-153
ISSN:0378-4754
Container-title:Mathematics and Computers in Simulation
language:en
Short-container-title:Mathematics and Computers in Simulation

Author:

Xi Yanhui,Peng Hui,Qin Yemei,Xie Wenbiao,Chen Xiaohong

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference44 articles.

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5. Asset pricing and the bid–ask spread;Amihud;J. Financ. Econ.,1986

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