A new methodology for studying intraday dynamics of Nikkei index futures using Markov chains

Journal of International Financial Markets, Institutions and Money

Volumn 9, Issue 3, 1999, Pages 247-265

  Shiyun, Wang ^a   Guan, Lim Kian ^b   Chang, Carolyn ^c  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c CALIFORNIA STATE UNIVERSITY   (United States)

Author keywords

Derivatives; Intraday patterns; Markov chains; Nikkei index

Indexed keywords

EID: 0033176885     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(99)00010-4     Document Type: Article

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