Prefer a chat interface with context about you and your work?
A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
Recent market events have reinvigorated the search for realistic return models that capture greater likelihoods of extreme movements. In this paper we model the medium-term log-return dynamics in a market with both fundamental and technical traders. This is based on a trade arrival model with variable size orders and a …