Price discovery in high resolution
Year of publication: |
2021
|
---|---|
Authors: | Hasbrouck, Joel |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 3, p. 395-430
|
Subject: | high frequency trading | high resolution | polynomial distributed lags | sparsity | vector autoregression (VAR) | vector error correction models (VECMs) | Kointegration | Cointegration | VAR-Modell | VAR model | Theorie | Theory | Börsenkurs | Share price | Elektronisches Handelssystem | Electronic trading |
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