A Compound Multifractal Model for High-Frequency Asset Returns
Year of publication: |
2014-08
|
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Authors: | Aldrich, Eric M. ; IHeckenbach, Indra Heckenbach ; Laughlin, Gregory |
Institutions: | Department of Economics, Brigham Young University |
Subject: | High-frequency trading | US Equities | News arrival |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 2014-05 51 pages |
Classification: | C22 - Time-Series Models ; C41 - Duration Analysis ; c58 ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting |
Source: |
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