Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
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 | Chaostheorie | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Nichtlineare Dynamik | Nonlinear dynamics | Börsenkurs | Share price | Volatilität | Volatility |
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