Financial markets revolutionized by new model revealing hidden trading patterns.
Ordinal stochastic volatility models were compared to stochastic volatility models for financial price changes. The researchers used a Bayesian approach with MCMC to estimate the models. They found that the OSV model is applicable to stocks with different trading activity levels and that factors like time between trades and volume influence price changes. Comparing the two models, they discovered that the discreteness of price changes should not be ignored.