Ch 17 - Modelling high frequency financial data : Discreteness Flashcards

1
Q

One way of looking at discrete time series is to use a ______, which contains _________

A

Transition matrix, transitional probability

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2
Q

The ADS model for discrete prices composes data in what 3 components?

A

Activity a time t, Direction of the price change, Size of price change in tick

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