Browsing 01 Research Theses Main Collection by Subject "ultra high-frequency, Bayesian, zero inflated Poisson difference, off-line, Markov chain Monte Carlo, Sequential Monte Carlo, particle filters, online, FTSE100, probability integral transform, sequential deviance information criterion, generalised Poisson difference"
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(University of Plymouth, 2011)The availability of ultra high-frequency (UHF) data on transactions has revolutionised data processing and statistical modelling techniques in finance. The unique characteristics of such data, e.g. discrete structure of ...