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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Neil Shephard
Frank B. Baird Jr., Professor of Science. Professor of Economics and Professor of Statistics
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Continuous time analysis of fleeting discrete price moves
Continuous time analysis of fleeting discrete price moves
Publication information:
Shephard, Neil, and Justin Yang. 2017. “Continuous Time Analysis of Fleeting Discrete Price Moves”.
Journal of the American Statistical Association
112: 1090-1106.
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