Dynamic predictor selection and order splitting in a limit order market
Ryuichi Yamamoto
| Year of publication: |
2019
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|---|---|
| Authors: | Yamamoto, Ryuichi |
| Published in: |
Macroeconomic dynamics. - Cambridge : Cambridge Univ. Press, ISSN 1365-1005, ZDB-ID 1412233-9. - Vol. 23.2019, 5, p. 1757-1792
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| Subject: | Agent-Based Modeling | Dynamic Predictor Selection | Fat Tail | Limit Order Market | Order Splitting | Uncorrelated Return | Volatility Clustering | Wertpapierhandel | Securities trading | Volatilität | Volatility | Theorie | Theory | Agentenbasierte Modellierung | Agent-based modeling | Marktmikrostruktur | Market microstructure |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1017/S136510051700044X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127237