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autoregressive conditional duration model,ACD
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autoregressive conditional duration model,ACD
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理学
风险中性测度
释
autoregressive conditional duration model,ACD
自回归条件持续期模型
把交易之间的持续期转化为一个随时间间隔变动的动态的点过程。不同的标值点过程得到不同的自回归条件持续期模型。
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