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~subject:"Electronic Limit Order Book"
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Electronic Limit Order Book
cubic spline
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state space form
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Theorie
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Bowsher, Clive
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Department of Economics, Oxford University
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Economics Series Working Papers / Department of Economics, Oxford University
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Modelling the Dynamics of Cross-Sectional Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
Bowsher, Clive
-
Department of Economics, Oxford University
-
2003
developed in which a smooth,
cubic
spline
signal function is used to approximate the price curve data. Estimation may then be …
Persistent link: https://www.econbiz.de/10010605209
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2
Modelling the Dynamics of Cross-Sectional Price Functions: an Econometric Analysis of the Bid and Ask Curves of an Automated Exchange
Bowsher, Clive
-
Department of Economics, Oxford University
-
2004
developed in which a smooth,
cubic
spline
signal function is used to approximate the price curve data. Estimation may then be …
Persistent link: https://www.econbiz.de/10010661371
Saved in:
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