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Jump-diffusion models of parametric volume-price distributions

cs.NE · 2025-11-20 · unverdicted · novelty 4.0

For Gamma-family fits to NYSE volume-price data the shape parameter follows diffusive mean-reverting dynamics while the scale parameter shows dominant jump-diffusion with elevated higher moments, and jumps explain a large share of variance; the log-normal model reverses the pattern.

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