Empirical Microstructure最新文献

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Forecasting Volatility Using Tick by Tick Data 使用Tick - by - Tick数据预测波动性

Empirical Microstructure Pub Date : 2005-03-01 DOI: 10.2139/ssrn.676462

R. Engle, Zheng Sun

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引用次数: 24

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model 纯限价单市场中的交易活动和流动性供给。使用多元计数数据模型的实证分析

Empirical Microstructure Pub Date : 2004-08-01 DOI: 10.2139/ssrn.676567

J. Grammig, Andréas Heinen, E. Rengifo

引用次数: 18