How do the lengths of the lead lag time between stocks evolve? : tick-by-tick level measurements across two decades
Year of publication: |
2022
|
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Authors: | Anderson, Bing |
Published in: |
Journal of banking and financial economics. - Warsaw : University of Warsaw, Faculty of Management, ISSN 2353-6845, ZDB-ID 2818912-7. - Vol. 18.2022, 2, p. 49-59
|
Subject: | Hayashi-Yoshida estimator | price discovery | cross-correlation | statistical arbitrage | high-frequency trading | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Schätzung | Estimation | Arbitrage | Zeit | Time | Aktienmarkt | Stock market | Kointegration | Cointegration |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.7172/2353-6845.jbfe.2022.2.4 [DOI] |
Classification: | G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G19 - General Financial Markets. Other |
Source: | ECONIS - Online Catalogue of the ZBW |
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