Relative volume as a doubly stochastic binomial point process

Quantitative Finance

Volumn 7, Issue 1, 2007, Pages 55-62

  McCulloch, James ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Cox process; Doubly stochastic binomial point process; Initial enlargement of filtration; NYSE, New York Stock Exchange; Relative volume; VWAP

Indexed keywords

EID: 33847068255     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600969735     Document Type: Review

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