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高频价格的动态离散混合模型AI 解读

The tick structure of the financial markets entails discreteness of stock price changes. Based on this empirical evidence, we develop a multivariate model for discrete price changes featuring a mechanism to account for the large share of zero returns at high frequency. We assume that the observed price changes are independent conditional on the realization of two hidden Markov chains determining the dynamics and the distribution of the multivariate time series at hand. We…

多元整数值时间序列的层级马尔可夫转换模型AI 解读

We propose a new flexible dynamic model for multivariate nonnegative integer-valued time-series. Observations are assumed to depend on the realization of two unobserved integer-valued stochastic variables which control for the time- and cross-dependence of the data. We provide conditional and unconditional (cross)-moments implied by the model, as well as the limiting distribution of the series. An Expectation–Maximization algorithm for maximum likelihood estimation of the…