Inferring trade directions in fast markets
Year of publication: |
2022
|
---|---|
Authors: | Jurkatis, Simon Willi |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 58.2022, p. 1-22
|
Subject: | Trade classification algorithm | Trade initiator | Transaction costs | Portfolio optimization | Limit order book | Market microstructure | Marktmikrostruktur | Wertpapierhandel | Securities trading | Transaktionskosten | Portfolio-Management | Portfolio selection | Börse | Bourse | Elektronisches Handelssystem | Electronic trading | Theorie | Theory | Geld-Brief-Spanne | Bid-ask spread | Börsenkurs | Share price | Anlageverhalten | Behavioural finance |
-
Inferring trade directions in fast markets
Jurkatis, Simon Willi, (2020)
-
Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias, (2019)
-
Testing stylized facts of Bitcoin limit order books
Schnaubelt, Matthias, (2019)
- More ...
-
Why you should not use the LSV herding measure
Jurkatis, Simon Willi, (2022)
-
Menkveld, Albert J., (2021)
-
Three essays in financial economics
Jurkatis, Simon Willi, (2018)
- More ...