Non-linear logit models for high-frequency data analysis

Physica A: Statistical Mechanics and its Applications

Volumn 355, Issue 1, 2005, Pages 183-189

  Sazuka, Naoya ^a  

^a SONY CORPORATION   (Japan)

Author keywords

AIC; Binary data; Conditional probabilities; High frequency data; Non linear logit models; Tick by tick data; Yen dollar exchange rate

Indexed keywords

BINARY CODES; DATA REDUCTION; FREQUENCIES; MATHEMATICAL MODELS; PROBABILITY; REGRESSION ANALYSIS;

AIC; BINARY DATA; CONDITIONAL PROBABILITIES; HIGH-FREQUENCY DATA; NON-LINEAR LOGIT MODELS; TICK-BY-TICK DATA; YEN-DOLLAR EXCHANGE RATE;

NONLINEAR PROGRAMMING;

EID: 21444447530     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2005.02.082     Document Type: Conference Paper

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