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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

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

A nonlinear structural model for volatility clustering

Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006

Persistent link: https://www.econbiz.de/10003375647

Volatility clustering in financial markets : empirical facts and agent-based models

Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006

Persistent link: https://www.econbiz.de/10003375648

Does the open limit order book matter in explaining informational volatility?

Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87

Persistent link: https://www.econbiz.de/10003997330

High frequency market microstructure

O'Hara, Maureen - In: Journal of financial economics 116 (2015) 2, pp. 267-270

Persistent link: https://www.econbiz.de/10011348519

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

When overconfident traders meet feedback traders

Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - 2016

Persistent link: https://www.econbiz.de/10011553073

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014

, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of … the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as … optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in …

Persistent link: https://www.econbiz.de/10010412417

Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262