Resiliency : cross-venue dynamics with Hawkes processes
Year of publication: |
[2020] ; This version: September 16th, 2020
|
---|---|
Authors: | Pelizzon, Loriana ; Sagade, Satchit ; Vozian, Katia |
Publisher: |
Frankfurt am Main : Leibniz Institute for Financial Research SAFE, Sustainable Architecture for Finance in Europe |
Subject: | liquidity | resiliency | fragmentation | competition | high-frequency data | Hawkes processes | Volatilität | Volatility | Wertpapierhandel | Securities trading | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (circa 63 Seiten) Illustrationen |
---|---|
Series: | SAFE working paper. - Frankfurt am Main : SAFE, ZDB-ID 2745463-0. - Vol. no. 291 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3711976 [DOI] hdl:10419/225288 [Handle] |
Classification: | G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Resiliency: Cross-venue dynamics with Hawkes processes
Pelizzon, Loriana, (2020)
-
How effective are trading pauses?
Hautsch, Nikolaus, (2017)
-
Frino, Alex, (2020)
- More ...
-
Resiliency: Cross-venue dynamics with Hawkes processes
Pelizzon, Loriana, (2020)
-
Wistbacka, Pontus, (2020)
-
The low-carbon transition, climate commitments and firm credit risk
Carbone, Sante, (2021)
- More ...