A new wavelet-based ultra-high-frequency analysis of triangular currency arbitrage
Nikola Gradojevic, Deniz Erdemlioglu, Ramazan Gençay
| Year of publication: |
2020
|
|---|---|
| Authors: | Gradojevic, Nikola ; Erdemlioglu, Deniz ; Gençay, Ramazan |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 85.2020, p. 57-73
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| Subject: | Limit order book | Foreign exchange markets | Triangular arbitrage | Wavelets | Devisenmarkt | Foreign exchange market | Arbitrage | Theorie | Theory | Zustandsraummodell | State space model | Arbitrage Pricing | Arbitrage pricing | Wertpapierhandel | Securities trading | Währungsderivat | Currency derivative | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2019.05.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012210603