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" -

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概要

• 論文の詳細を見る

• This paper empirically shows that in the days near the last trading day of Nikkei 225 Futures the best bid/ask prices follows the highly negatively correlated first order Markov process, and has no trend up to four ticks based on the total $\rho$-variation. This is consistent with the model by Endo et al. and the empirical results therein by different approach. It also derives the theoretical asymptotic formula for the total $\rho$-variation when the process follows the first order random Markov walks, and shows that its fit is satisfactory for $\rho\le 4$.

• The Japan Society for Industrial and Applied Mathematicsの論文

著者

• Li Meng

  Graduate School Of Information Sciences Tohoku University

• Li Meng

  Graduate School of Systems and Information Engineering, University of Tsukuba

• Kishimoto Kazuo

  Graduate School of Systems and Information Engineering, University of Tsukuba

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• 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" -

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