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2013-06-25
Partially-observed microstructure models, containing stochastic volatility, dynamic trading noise and short term inertia, are introduced to address the following questions: (1) Do the observed prices exhibit statistically signicant inertia? (2) Is stochastic volatility (SV) still evident in the...
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2013-09-10
The equivalences to and the connections between the modulus-of-continuity condition, compact containment and tightness on DE[a, b] with a < b are studied. The results within are tools for establishing tightness for probability measures on DE[a, b] that generalize and simplify prevailing results...
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2013-11-22
We address the missing analog of vague convergence in the weak-converge large-deviations analogy. Specifically, we introduce the weak Laplace principle and show it implies both the well-known weak LDP and the Laplace principle lower bound. Both the weak LDP and weak Laplace principle hold in...