Wu, Kesheng; Bethel, E. Wes; Gu, Ming; Leinweber, David; … - In: Algorithmic Finance 2 (2013) 3-4, pp. 241-267
Understanding the microstructure of the financial market requires the processing of a vast amount of data related to individual trades, and sometimes even multiple levels of quotes. This requires computing resources that are not easily available to financial academics and regulators....