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Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950
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Predictability and herding of bourse volatility : an econophysics analogue
Ghosh, Bikramaditya; Krishna, Mysore Chidambareswaran; … - In: Investment management and financial innovations 15 (2018) 2, pp. 317-326
Persistent link: https://www.econbiz.de/10012055468
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KDB+ for Electronic Trading : Q, High Frequency Financial Data and Algorithmic Trading
Bilokon, Paul A - 2019
Cover -- Title Page -- Copyright -- Contents -- Preface -- History of Kdb+ and q -- Motivation for this Book -- Code Structure -- Structure of the Book -- Prerequisites -- About the Authors -- Part One Language Fundamentals -- Chapter 1 Fundamentals of the q Programming Language -- 1.1 The (Not...
Persistent link: https://www.econbiz.de/10012136391
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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
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Statistical arbitrage pairs trading with high-frequency data
Stübinger, Johannes; Bredthauer, Jens - In: International journal of economics and financial issues … 7 (2017) 4, pp. 650-662
Persistent link: https://www.econbiz.de/10011833680
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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
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Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
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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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A state-space modeling of the information content of trading volume
Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19
Persistent link: https://www.econbiz.de/10012317879
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Modeling high-frequency financial data using R and Stan : a bayesian autoregressive conditional duration approach
Tabash, Mosab I.; Navas, T. Muhammed; Thayyib, P. V.; … - In: Journal of open innovation : technology, market, and … 10 (2024) 2, pp. 1-16
In econometrics, Autoregressive Conditional Duration (ACD) models use high-frequency economic or financial duration data, which mostly exhibit irregular time intervals. The ACD model is widely used to examine the duration of transaction volume and duration of price variations in stock markets....
Persistent link: https://www.econbiz.de/10014581582