Price jump prediction in a limit order book
Ban Zheng; Eric Moulines; Frédéric Abergel
| Year of publication: |
2013
|
|---|---|
| Authors: | Zheng, Ban ; Moulines, Eric ; Abergel, Frédéric |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 2, p. 242-255
|
| Subject: | Limit Order Book | High Frequency Trading | Price Jump | Trade-Through | Logistic Regression | LASSO | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Theorie | Theory | Marktmikrostruktur | Market microstructure | Regressionsanalyse | Regression analysis | Geld-Brief-Spanne | Bid-ask spread | Börse | Bourse |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010239589