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A closed-form formula characterization of the Epps effect
Buccheri, Giuseppe; Livieri, Giulia; Pirino, Davide; … - In: Quantitative finance 20 (2020) 2, pp. 243-254
Persistent link: https://www.econbiz.de/10012194864
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
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Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
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Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach
Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571
Persistent link: https://www.econbiz.de/10011913204
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Liquidity fluctuations and the latent dynamics of price impact
Mertens, Luca Philippe; Ciacci, Alberto; Lillo, Fabrizio; … - In: Quantitative finance 22 (2022) 1, pp. 149-169
Persistent link: https://www.econbiz.de/10012872529
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On the predictability of stock market bubbles : evidence from LPPLS confidence multi-scale indicators
Demirer, Rıza; Demos, Guilherme; Gupta, Rangan; … - In: Quantitative finance 19 (2019) 5, pp. 843-858
Persistent link: https://www.econbiz.de/10012194719
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Stock market uncertainty and economic fundamentals : an entropy-based approach
Ahn, Kwangwon; Lee, Daeyong; Sohn, Sungbin; Yang, B. - In: Quantitative finance 19 (2019) 7, pp. 1151-1163
Persistent link: https://www.econbiz.de/10012194751
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The endo-exo problem in high frequency financial price fluctuations and rejecting criticality
Wheatley, Spencer; Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 19 (2019) 7, pp. 1165-1178
Persistent link: https://www.econbiz.de/10012194752
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Learning multi-market microstructure from order book data
Ju, Geonhwan; Kim, Kyoung-Kuk; Lim, Dong-Young - In: Quantitative finance 19 (2019) 9, pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803