A descriptive study of high-frequency trade and quote option data
Year of publication: |
2021
|
---|---|
Authors: | Andersen, Torben ; Archakov, Ilya ; Grund, Leon ; Hautsch, Nikolaus ; Li, Yifan ; Nasekin, Sergey ; Nolte, Ingmar ; Manh Cuong Pham ; Taylor, Stephen ; Todorov, Viktor |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 1, p. 128-177
|
Subject: | high-frequency data | market microstructure | options | Marktmikrostruktur | Market microstructure | Elektronisches Handelssystem | Electronic trading | Börsenkurs | Share price | Volatilität | Volatility |
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