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Trading activity, quoted liqui...
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Volatility
194
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107
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93
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Quantitative finance
The Canadian journal of economics
908
NBER working paper series
871
Working paper / National Bureau of Economic Research, Inc.
825
NBER Working Paper
734
Energy economics
713
Finance research letters
678
Canadian public policy : a journal for the discussion of social and economic policy in Canada
664
Canadian journal of agricultural economics : CJAE
658
Applied economics
634
Journal of banking & finance
517
International review of financial analysis
502
The Canadian journal of economics and political science : the journal of the Canadian Political Science Association
487
International review of economics & finance : IREF
439
The journal of futures markets
431
L' Actualité économique : revue trimest.
421
The North American journal of economics and finance : a journal of financial economics studies
413
Economic modelling
401
Canadian tax journal
390
Applied financial economics
377
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372
Cat.
354
Journal of econometrics
347
Economics letters
341
Discussion paper / Centre for Economic Policy Research
333
Research in international business and finance
330
Applied economics letters
329
Journal of international financial markets, institutions & money
325
Journal of empirical finance
321
Journal of international money and finance
316
Canadian public administration : analyzing national, provincial, territorial, municipal, aboriginal and international governance practice in a changing world
307
Discussion paper
291
Research paper series / Analytical Studies, Statistics Canada
274
International journal of theoretical and applied finance
271
Discussion paper series / IZA
260
Journal of financial economics
250
CESifo working papers
247
IMF working papers
242
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
230
Journal of risk and financial management : JRFM
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ECONIS (ZBW)
231
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1
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:
2
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:
3
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
Saved in:
4
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
5
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
Saved in:
6
The influence of intraday seasonality on
volatility
transmission pattern
Alemany, N.
;
Aragó Manzana, Vicent
;
Salvador, E.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
Saved in:
7
Market impact : a systematic study of the high frequency options market
Said, Emilio
;
Bel Hadj Ayed, Ahmed
;
Thillou, Damien
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 69-84
Persistent link: https://www.econbiz.de/10012424634
Saved in:
8
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
9
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:
10
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
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