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We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010303679
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
-round integration of two economies. Empirically, such a constellation is found between Australia and New Zealand, whereas diverging … trends in money and interest rates characterise the relation of Australia towards the US. …
Persistent link: https://www.econbiz.de/10010263691
After exchanges and alternative trading venues have introduced electronic execution mechanisms worldwide, the focus of the securities trading industry shifted to the use of fully electronic trading engines by banks, brokers and their institutional customers. These Algorithmic Trading engines...
Persistent link: https://www.econbiz.de/10010303683
Persistent link: https://www.econbiz.de/10011288120
This paper uses highly detailed, quarterly data for five major industrialized economies to estimate the impact of macroeconomic fluctuations on import protection policies over 1988:Q1 - 2010:Q4. First, estimates on a pre-Great Recession sample of data provide evidence of two key relationships....
Persistent link: https://www.econbiz.de/10010292150
effects. This paper focuses on inter-cohort differences in the intensity and pattern of internal migration in Australia, while … Australian baby boom compared to the US. The baby boom in Australia was delayed and much smaller in terms of absolute and …
Persistent link: https://www.econbiz.de/10010352566
Australia, is used to test the model. This survey had three waves, at about 6 months, 18 months and 3? years after immigration …
Persistent link: https://www.econbiz.de/10010262738
for Australia. It focuses on both visa category and variables derived from an economic model of the determinants of …
Persistent link: https://www.econbiz.de/10010262780
concentrated. Testing the model for Australia shows that the extent of geographic concentration of immigrant groups is negatively … related to age at migration, duration of residence in Australia and the proportion of the birthplace group that is fluent in … the country of origin and the place of residence in Australia. …
Persistent link: https://www.econbiz.de/10010262788