A hidden Markov model approach to information-based trading: theory and applications

Yin, Xiang Kang and Zhao, Jing 2015, A hidden Markov model approach to information-based trading: theory and applications, Journal of applied econometrics, vol. 30, no. 7, Nov/Dec, pp. 1210-1234, doi: 10.1002/jae.2412.

Attached Files
Name Description MIMEType Size Downloads

Title A hidden Markov model approach to information-based trading: theory and applications
Author(s) Yin, Xiang KangORCID iD for Yin, Xiang Kang orcid.org/0000-0002-7031-414X
Zhao, Jing
Journal name Journal of applied econometrics
Volume number 30
Issue number 7
Season Nov/Dec
Start page 1210
End page 1234
Total pages 25
Publisher John Wiley & Sons
Place of publication Chichester, Eng.
Publication date 2015-11
ISSN 0883-7252
1099-1255
Keyword(s) Markov process
market states
information‐based trading
trading dynamics
information asymmetry
belief dispersion
earnings
private information
public information
Language eng
DOI 10.1002/jae.2412
HERDC Research category C1.1 Refereed article in a scholarly journal
ERA Research output type C Journal article
Copyright notice ©2015, John Wiley & Sons, Ltd.
Persistent URL http://hdl.handle.net/10536/DRO/DU:30111979

Document type: Journal Article
Collection: Faculty of Business and Law
Connect to link resolver
 
Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved.

Versions
Version Filter Type
Citation counts: TR Web of Science Citation Count  Cited 0 times in TR Web of Science
Scopus Citation Count Cited 2 times in Scopus
Google Scholar Search Google Scholar
Access Statistics: 110 Abstract Views, 4 File Downloads  -  Detailed Statistics
Created: Thu, 02 Aug 2018, 11:14:23 EST

Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.