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Modelling financial transaction price movements : a dynamic integer count data model
Liesenfeld, Roman; Nolte, Ingmar; Pohlmeier, Winfried - In: Empirical economics : a journal of the Institute for … 30 (2005) 4, pp. 795-825
Persistent link: https://www.econbiz.de/10003233759
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The Markov switching ACD model
Hujer, Reinhard - 2002
Persistent link: https://www.econbiz.de/10013444456
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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
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Duration, trading volume and the price impact of trades in an emerging futures market
Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - In: Emerging markets review 17 (2013), pp. 89-105
Persistent link: https://www.econbiz.de/10010243112
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Extension and calibration of a Hawkes-based optimal execution model
Alfonsi, Aurélien; Blanc, Pierre - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-55
Persistent link: https://www.econbiz.de/10011588251
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Limit order books and trade informativeness
Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759
Persistent link: https://www.econbiz.de/10009691782
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …
Persistent link: https://www.econbiz.de/10003738658