The probability of informed trading measured with price impact, price reversal, and volatility
Year of publication: |
May 2016
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Authors: | Kitamura, Yoshihiro |
Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 42.2016, p. 77-90
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Subject: | Exchange rates | High-frequency data | Informed trading | Markov-switching model | Volatilität | Volatility | Wechselkurs | Exchange rate | Theorie | Theory | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Informationsökonomik | Economics of information | Schätzung | Estimation |
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