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A modeling approach to financial time series based on market microstructure model with jumps.
Hui Peng
Genshiro Kitagawa
Yoshiyasu Tamura
Yanhui Xi
Yemei Qin
Xiaohong Chen
Published in:
Appl. Soft Comput. (2015)
Keyphrases
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financial time series
stock price
probabilistic model
foreign exchange
co occurrence
stock market