An ordered probit analysis of transaction stock prices
Article Abstract:
Ordered probit analysis can be used to measure conditional distribution of price variations in stock trading. The statistical model employs discrete random variables and assumes that such price changes occur in discrete increments on an irregular time basis. Data from 1988 transactions of US stocks are used to measure the ordered probit model and analyze factors including trade price impact, price reversals and price discreteness.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 1992
User Contributions:
Comment about this article or add new information about this topic:
An equilibrium model of irreversible investment
Article Abstract:
This paper examines irreversible real investment through a general equilibrium model in a two-sector production economy. The model used provides more accurate information than partial equilibrium models.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2001
User Contributions:
Comment about this article or add new information about this topic:
When is time continuous?
Article Abstract:
Temporal granularity is developed as a concept and used in a model to examine the behavior of derivatives.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2000
User Contributions:
Comment about this article or add new information about this topic:
- Abstracts: Massively parallel computation of spatial price equilibrium problems as dynamical systems. On the stability of an adjustment process for spatial price equilibrium modeled as a projected dynamical system
- Abstracts: A regional dynamic general-equilibrium model of alternative climate-change strategies. New directions in national economic accounting
- Abstracts: Iran and Libya Sanctions Act: response to Iranian gas deal may affect future investments. Guide for doing business and investing in Iran
- Abstracts: The determinants of training of male and female employees in Britain. Job insecurity and the difficulty of regaining employment: an impirical study of unemployment expectations
- Abstracts: Credibility of a new monetary regime: the currecny board in Bulgaria. Constructing and estimating a realistic optimizing model of monetary policy