Modelling intervalling effect of high frequency trading on portfolio volatility
Year of publication: |
2019
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Authors: | Hong, KiHoon |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 9.2019, 7, p. 2362-2370
|
Subject: | Volatility | Fast Trading | Momentum Trading | Time Series Momentum | Intervalling Effect | Volatilität | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading | Momentenmethode | Method of moments |
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