Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
Nikolay Andreev and Victor Lapshin
| Year of publication: |
2015
|
|---|---|
| Authors: | Andreev, Nikolay ; Lapshin, Victor |
| Published in: |
Financial econometrics and empirical market microstructure. - Cham [u.a.] : Springer, ISBN 978-3-319-09945-3. - 2015, p. 13-23
|
| Subject: | Chaos theory | correlation integral | Microstructure | Price dynamics | Recurrence plot | Marktmikrostruktur | Market microstructure | Chaostheorie | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Nichtlineare Dynamik | Nonlinear dynamics | Korrelation | Correlation | Volatilität | Volatility | Noise Trading | Noise trading | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011326759