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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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Special issue on the 23rd Forecasting Financial Markets Conference
Forecasting Financial Markets Conference <23.> - 2018
Persistent link: https://www.econbiz.de/10011910900
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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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Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
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Portfolio performance of linear SDF models : an out-of-sample assessment
Guidolin, Massimo; Hansen, Erwin; Lozano-Banda, Martín - In: Quantitative finance 18 (2018) 8, pp. 1425-1436
Persistent link: https://www.econbiz.de/10011911550
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Modelling the shape of the limit order book
Platania, Federico; Serrano, Pedro; Tapia, Mikel - In: Quantitative finance 18 (2018) 9, pp. 1575-1597
Persistent link: https://www.econbiz.de/10011913208
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Election predictions as martingales : an arbitrage approach
Taleb, Nassim Nicholas - In: Quantitative finance 18 (2018) 1, pp. 1-5
Persistent link: https://www.econbiz.de/10011905812
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264
Persistent link: https://www.econbiz.de/10011905913