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~isPartOf:"Quantitative finance"
~isPartOf:"The European journal of finance"
~subject:"Börsenkurs"
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Börsenkurs
Market microstructure
64
Marktmikrostruktur
64
Share price
36
Theorie
34
Theory
34
Securities trading
32
Wertpapierhandel
32
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market microstructure
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order flow
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Bouchaud, Jean-Philippe
4
Lillo, Fabrizio
4
Abergel, Frédéric
3
Cont, Rama
3
Bormetti, Giacomo
2
Cucuringu, Mihai
2
Sornette, Didier
2
Taranto, Damian Eduardo
2
Tóth, Bence
2
Wehrli, Alexander
2
Achab, Massil
1
Aitken, Michael J.
1
Alemany, N.
1
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1
Aragó Manzana, Vicent
1
Bacry, E.
1
Bel Hadj Ayed, Ahmed
1
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1
Benzaquen, Michael
1
Bucci, Frederic
1
Cang, Yuquan
1
Chen, Jing
1
Chen, Jingnan
1
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1
Ciacci, Alberto
1
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1
Ju, Geonhwan
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Quantitative finance
The European journal of finance
Pacific-Basin finance journal
22
Journal of financial markets
21
Journal of financial economics
18
Market microstructure and liquidity
18
Journal of econometrics
17
International review of financial analysis
16
Journal of banking & finance
16
Journal of empirical finance
14
The financial review : the official publication of the Eastern Finance Association
11
Finance research letters
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Journal of economic dynamics & control
10
The review of financial studies
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CFS working paper series
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Journal of international financial markets, institutions & money
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Review of quantitative finance and accounting
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Journal of risk and financial management : JRFM
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Applied mathematical finance
7
Economic modelling
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International journal of theoretical and applied finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Research in international business and finance
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
International review of economics & finance : IREF
6
NBER working paper series
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SFB 649 discussion paper
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Asia-Pacific journal of financial studies
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CFS Working Paper
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Capital markets and finance in the enlarged Europe : the Postgraduate Research Programme working paper series
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Emerging markets review
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ECONIS (ZBW)
36
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1
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
2
Cross-impact of order flow imbalance in equity markets
Cont, Rama
;
Cucuringu, Mihai
;
Zhang, Chao
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
Saved in:
3
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
4
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
5
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
6
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
7
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
8
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
9
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
10
Modeling market fluctuations under investor sentiment with a Hawkes-Contact process
Zhang, Junhuan
;
Wen, Jiaqi
;
Chen, Jing
- In:
The European journal of finance
29
(
2023
)
1
,
pp. 17-32
Persistent link: https://www.econbiz.de/10014322445
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