What are stochastic models of market microstructure?

Also, as we shall point out, mutual information corresponds to the increase in the doubling rate of wealth given side information. ... random processes such as ... Stochastic Processes (MATH27712). The details given may be subject to change, and should be used for informational purposes only. Course Unit details can change ... Mar 6, 2020 ... Let Π be a fully connected transition operator for a Markov process on S, where. Π(s, s0) =: πs(s0) is the probability of transitioning from ... ... stochastic process, whether the original process is Markovian or not. ... information sharing called "informational coherence". Informational coherence, in ... ... information flow, modeled as a stochastic volatility process, and generalize standard autoregressive conditional heteroskedasticity specifications ... We studied how this growth process shapes the length distribution of informational polymers. Using stochastic simulations, we find that the process generally ... Jan 20, 2022 ... ... stochastic processes, and information dynamics approaches. Our analysis revealed novel relationships between these metrics, which allowed us ... The first one for obtaining concentration of Markov chains is to establish transport- entropy inequalities in the process level. This was begun again by Marton ... Dec 28, 2020 ... Even if the price arguably does, the volume certainly does not. There are however a set of stochastic processes that deal with these jumps. Jump ... Stationary quantum information sources emit sequences of correlated qudits—that is, structured quantum stochastic processes.