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Intraday trading invariancein the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020

Persistent link: https://www.econbiz.de/10012494219

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades

Chakravarty, Ranjan R.; Pani, Sudhanshu - In: Journal of quantitative economics 19 (2021) 4, pp. 617-652

Persistent link: https://www.econbiz.de/10012663902

Intraday trading invariance in the E-mini S&P 500 futures market

Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2016

Persistent link: https://www.econbiz.de/10011633490

Intraday Trading Invariance in the E-Mini S&P 500 Futures Market

Andersen, Torben G. - 2018

: return volatility per transaction is proportional to the inverse of the squared expected trade size. It captures the time …

Persistent link: https://www.econbiz.de/10012936734

Information versus imitation in a real-time agent-based model of financial markets

Biondo, Alessio Emanuele - In: Journal of economic interaction and coordination 15 (2020) 3, pp. 613-631

Persistent link: https://www.econbiz.de/10012296905

Discovering traders' heterogeneous behavior in high-frequency financial data

Huang, Ya-Chi; Tsao, Chueh-Yung - In: Computational economics 51 (2018) 4, pp. 821-846

Persistent link: https://www.econbiz.de/10011971267

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

Die parametrische und semiparametrische Analyse von Finanzzeitreihen : neue Methoden, Modelle und Anwendungsmöglichkeiten

Peitz, Christian - 2016

Persistent link: https://www.econbiz.de/10011432076

Informational inefficiency of Bitcoin : a study based on high-frequency data

Zargar, Faisal Nazir; Kumar, Dilip - In: Research in international business and finance 47 (2019), pp. 344-353

Persistent link: https://www.econbiz.de/10012135746

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