DURASI DAN PERUBAHAN HARGA DENGAN MARKOV CHAIN MONTE CARLO
This thesis proposed a model to analyze duration and price change of ultra high frequency data for an intraday transaction. This Price Change and Duration Model was decomposed in to four principal components, i.e. time duration between price changes, number of trades that result in no price change,...
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| Main Authors: | , |
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| Format: | Theses and Dissertations NonPeerReviewed |
| Published: |
[Yogyakarta] : Universitas Gadjah Mada
2013
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| Subjects: | |
| Online Access: | https://repository.ugm.ac.id/125757/ http://etd.ugm.ac.id/index.php?mod=penelitian_detail&sub=PenelitianDetail&act=view&typ=html&buku_id=65933 |
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| Summary: | This thesis proposed a model to analyze duration and price change of ultra high
frequency data for an intraday transaction. This Price Change and Duration Model was
decomposed in to four principal components, i.e. time duration between price changes,
number of trades that result in no price change, direction of price change (up and down),
and the size of price change. The last three components were the decomposition of price
change itself. Parameter estimations of four components were calculated using Markov
Chain Monte Carlo. The results of the study presents the values of parameter estimations
for IBM data on 21st November 1990 that showed that there was no dynamic dependence
in time duration and also there was some effect of duration in three variabels of price
change. |
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