Intraday trades profile estimation : an intensity approach
Year of publication: |
2023
|
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Authors: | Sancetta, Alessio |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 21.2023, 3, p. 651-677
|
Subject: | algorithmic trading | asymptotic distribution | consistency | counting process | fused Lasso estimator | Schätztheorie | Estimation theory | Elektronisches Handelssystem | Electronic trading | Wertpapierhandel | Securities trading | Schätzung | Estimation | Volatilität | Volatility |
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