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~isPartOf:"Journal of financial econometrics"
~language:"eng"
~subject:"Elektronisches Handelssystem"
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Elektronisches Handelssystem
Market microstructure
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Marktmikrostruktur
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Börsenkurs
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Estimation
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market microstructure
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Andersen, Torben
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Li, Yifan
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Manh Cuong Pham
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Journal of financial econometrics
Journal of international financial markets, institutions & money
10
Journal of financial markets
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Market microstructure and liquidity
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Research in international business and finance
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International review of financial analysis
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Journal of banking & finance
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Quantitative finance
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Finance research letters
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Journal of empirical finance
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Pacific-Basin finance journal
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Applied mathematical finance
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Economic modelling
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Journal of financial economics
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The European journal of finance
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The journal of trading
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Econophysics of Order-driven Markets : proceedings of Econophys-Kolkata V
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European financial management : the journal of the European Financial Management Association
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Journal of economic dynamics & control
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Journal of risk and financial management : JRFM
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LEM working paper series
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Review of quantitative finance and accounting
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Swiss Finance Institute Research Paper
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The Oxford handbook of computational economics and finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Modeling bid and ask price dynamics with an extended hawkes process and its empirical applications for high-frequency stock market data
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of financial econometrics
21
(
2023
)
4
,
pp. 1099-1142
Persistent link: https://www.econbiz.de/10014391445
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2
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
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