Random trade timing in intertrade-incidence and intertrade-time models produces Pareto-type tails in realized prices from light-tailed Markov-modulated Lévy processes, with the tail index set by the slowest trading type.
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Random trade timing and power-law tails in realized prices
Random trade timing in intertrade-incidence and intertrade-time models produces Pareto-type tails in realized prices from light-tailed Markov-modulated Lévy processes, with the tail index set by the slowest trading type.