A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Zhicheng Li, Xinyun Chen, Haipeng Xing

Year of publication:	2023
Authors:	Li, Zhicheng ; Chen, Xinyun ; Xing, Haipeng
Published in:	Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 118.2023, p. 1-17
Subject:	Duration model \| High-frequency data \| Market microstructure \| Regime switching \| Marktmikrostruktur \| Markov-Kette \| Markov chain \| Börsenkurs \| Share price \| Wertpapierhandel \| Securities trading \| Schätzung \| Estimation \| Dauer \| Duration \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Elektronisches Handelssystem \| Electronic trading \| Finanzmarkt \| Financial market \| Statistische Bestandsanalyse \| Duration analysis

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