Author: Huang He Kercheval Alec N.
Publisher: Routledge Ltd
ISSN: 1469-7688
Source: Quantitative Finance, Vol.12, Iss.4, 2012-04, pp. : 547-557
Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.
Abstract
Related content
Hawkes model for price and trades high-frequency dynamics
By Bacry Emmanuel Muzy Jean-François
Quantitative Finance, Vol. 14, Iss. 7, 2014-07 ,pp. :
High-frequency trading model for a complex trading hierarchy
By Podobnik Boris Wang Duan Stanley H. Eugene
Quantitative Finance, Vol. 12, Iss. 4, 2012-04 ,pp. :
Estimation of quarticity with high-frequency data
By Mancino Maria Elvira Sanfelici Simona
Quantitative Finance, Vol. 12, Iss. 4, 2012-04 ,pp. :
Optimal high-frequency trading with limit and market orders
Quantitative Finance, Vol. 13, Iss. 1, 2013-01 ,pp. :