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Electronic foreign-exchange markets and passage events of independent subordinators

Abstract:
We set up a model for electronic foreign-exchange markets, suggesting subordinates to represent sellers' and buyers' offers. Its analysis naturally leads to the study of level passage events. The classical level passage event concerns the joint law of the time, height, and jump size observed when a real-valued stochastic process first exceeds a given level h. We provide an up-to-date treatment in the case when this process is a subordinator, and extend these results to a multivariate setting. © Applied Probability Trust 2005.
Publication status:
Published

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Publisher copy:
10.1239/jap/1110381376

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Institution:
University of Oxford
Department:
Oxford, MPLS, Statistics
Journal:
JOURNAL OF APPLIED PROBABILITY
Volume:
42
Issue:
1
Pages:
138-152
Publication date:
2005-03-05
DOI:
ISSN:
0021-9002
URN:
uuid:58b4a980-73a1-4752-b9a2-0d15d9b324b1
Source identifiers:
97553
Local pid:
pubs:97553

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