Large Large-trader activity weakens the long memory of limit order markets
Kevin Primicerio and Damien Challet
| Year of publication: |
2018
|
|---|---|
| Authors: | Primicerio, Kevin ; Challet, Damien |
| Published in: |
Market microstructure and liquidity. - New Jersey : World Scientific, ISSN 2382-6266, ZDB-ID 2880405-3. - Vol. 4.2018, 1/2, p. 1-12
|
| Subject: | Large-trader | market microstructure | long memory | Marktmikrostruktur | Market microstructure | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Wertpapierhandel | Securities trading | ARMA-Modell | ARMA model | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2382626619500047 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012256411