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Financial markets have undergone tremendous changes in the last decades. Next to the automation of the trading process and the improvement in market quality, High Frequency Trading (HFT) plays a major role in financial markets. This thesis provides a background on the evolution of financial...
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data for financial market risk measurement. The first chapter considers the extraction of liquidity information from the … intraday limit order book to enhance the daily market risk measures for the dimension of liquidity risk. While liquidity risk …
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