High frequency traders and the price process
Yacine Aït-Sahalia, Celso Brunetti
| Year of publication: |
2020
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Brunetti, Celso |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 217.2020, 1, p. 20-45
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| Subject: | Volatility | High frequency trading | Jumps | Liquidity | Market impact | Market microstructure noise | Price process | Volatilität | Marktmikrostruktur | Market microstructure | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Finanzmarkt | Financial market | Marktliquidität | Market liquidity | Noise Trading | Noise trading | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.11.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012482736