define fundamental price and transactional price and show that when the log of the two prices differ

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define fundamental price and transactional price and show that when the log of the two prices differ as in the bid-ask bounce model, the return follows MA(1) process with a negative MA coefficient

Posted Date: Jun 23, 2024 06:00 AM

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define fundamental price and transactional price and show that when the log of the two prices differ

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