Heavy-tailed features and dependence in limit order book volume profiles in futures markets
Kylie-Anne Richards, Gareth W. Peters, William Dunsmuir
| Year of publication: |
2015
|
|---|---|
| Authors: | Richards, Kylie-Anne ; Peters, Gareth W. ; Dunsmuir, William T.M. |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 3, p. 1-56
|
| Subject: | Limit order book | futures markets | high frequency volume profiles | microstructure | heavy tail | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Derivat | Derivative | Handelsvolumen der Börse | Trading volume | Börsenkurs | Share price | Geld-Brief-Spanne | Bid-ask spread | Börsenhandel | Stock exchange trading | Elektronisches Handelssystem | Electronic trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011403201