Modeling and asset allocation for financial markets based on a discrete time microstructure model

@inproceedings{Peng2003ModelingAA,
  title={Modeling and asset allocation for financial markets based on a discrete time microstructure model},
  author={Hui Peng and Tohru Ozaki and Valerie Haggan-Ozaki},
  year={2003}
}
On the basis of the market microstructure theory and the continuous time stochastic volatilitystyle microstructure model, a discrete time stochastic volatility microstructure model with stateobservability is proposed for describing the dynamics of financial markets. From the discrete time microstructure model proposed, estimates of two immeasurable state variables representing the market excess demand and liquidity respectively may be obtained. A simple trading strategy for dynamic asset… CONTINUE READING

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