What is the "true price"? state space models for high frequency FX data

John E. Moody, Lizhong Wu. What is the "true price"? state space models for high frequency FX data. In Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering, CIFEr 1997, New York City, USA, March 24-25, 1997. pages 150-156, IEEE, 1997. [doi]

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