Zhang, Qiang; Lu, Zu-di; Liu, Shancun; Yang, Haijun; … - In: Journal of management science and engineering 9 (2024) 1, pp. 53-61
a useful framework for financial analysis. The first-order Markov property of trading indicator variables is a critical … assumption in the MRR model, which contradicts the information lag empirically demonstrated in high-frequency trading processes …. In this study, a nonparametric test is employed, which shows that the Markov property of the trading indicator variables …