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~person:"Kohler, Alexander"
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MiFID
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Multivariate Autoregressive Conditional Intensity
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Kohler, Alexander
Herrera, Rodrigo
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Where does information processing in a fragmented market take place? : evidence from the Swiss stock market after MiFID
Kohler, Alexander
;
Wyss, Rico von
-
2012
Persistent link: https://www.econbiz.de/10010407675
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Where does Information Processing in a Fragmented Market Take Place? – Evidence from the Swiss Stock Market after MiFID
Kohler, Alexander
;
von Wyss, Rico
-
School of Finance, Universität St. Gallen
-
2012
conditional
intensity
(ACI) model that explicitly takes the asynchronous structure of order arrivals into account, we find strong …
Persistent link: https://www.econbiz.de/10010687543
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