Testing whether the Nikkei225 best bid/ask price path follows the first order discrete Markov chain - an approach in terms of the total "$\rho$-variation" -.
Meng LiKazuo KishimotoPublished in: JSIAM Lett. (2010)
Keyphrases
- markov chain
- steady state
- markov processes
- finite state
- monte carlo method
- monte carlo
- transition probabilities
- markov process
- stationary distribution
- monte carlo simulation
- markov model
- stochastic process
- state space
- random walk
- transition matrix
- state transition
- first order logic
- higher order
- markov chain monte carlo
- objective function