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41
When overconfident traders meet feedback traders
Boco, Herve
;
Germain, Laurent
;
Rousseau, Fabrice
- In:
Finance : revue de l'Association Française de Finance
42
(
2021
)
3
,
pp. 7-55
Persistent link: https://www.econbiz.de/10012792321
Saved in:
42
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
43
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
Saved in:
44
Reducing transaction costs using intraday forecasts of limit order book slopes
Ahabchane, Chahid
;
Cenesizoglu, Tolga
;
Grass, Gunnar
; …
-
2021
Persistent link: https://www.econbiz.de/10012615644
Saved in:
45
Investigating new sources of information and nonlinearities on financial markets
Behrendt, Simon
-
2020
Persistent link: https://www.econbiz.de/10012415028
Saved in:
46
Artificial Long Memory Effects in Two Agend-Based Asset Pricing Models
Franke, Reiner
-
2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10010296307
Saved in:
47
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
Saved in:
48
Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model
Grammig, Joachim
;
Heinen, Andréas
;
Rengifo, Erick W.
-
2004
Persistent link: https://www.econbiz.de/10002390653
Saved in:
49
Empirical models of the intraday process of price changes and liquidity : a transaction level approach
Gerhard, Frank
(
contributor
)
-
2003
-
[Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001763098
Saved in:
50
Market Microstructure and the Risks of High-Frequency Trading
Aldridge, Irene
-
2013
market manipulation, the highest
volatility
and probability of market crashes, yet the highest liquidity. The so … detect spoofing market manipulation, lower
volatility
and probability of market crashes, but lower liquidity levels. Finally …
Persistent link: https://www.econbiz.de/10013079007
Saved in:
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