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Modelling volatility and correlation for tick-by-tick return data using trading information and buy/sell signals

John L. Knight

Publication Data

Title Modelling volatility and correlation for tick-by-tick return data using trading information and buy/sell signals
Author John L. Knight
Contributors Shinn-Juh Lin, S. Satchell, S. Satchell
Publisher Birkbeck College, University of London
Publication date 1998
Publication location London
Language English

Topics

Stocks :: Prices :: Mathematical models
Stock exchanges :: Great Britain :: Mathematical models
Stock exchanges :: United States :: Mathematical models

Catalogue Data

OBNB ID GB9848379
ISBN 10 n/a
ISBN 13 n/a
Type BibliographicResource, Book

ISBD

P1053 53 p.
P1042 Includes bibliographical references (p. 22-25)

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Modelling volatility and correlation for tick-by-tick return data using trading information and buy/sell signals by John L. Knight. Published by Birkbeck College, University of London in 1998. Publication and catalogue information, links to buy online and reader comments.