Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Damian Eduardo Taranto, Giacomo Bormetti, Jean-Philippe Bouchaud, Fabrizio Lillo and Bence Tóth
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Taranto, Damian Eduardo ; Bormetti, Giacomo ; Bouchaud, Jean-Philippe ; Lillo, Fabrizio ; Tóth, Bence |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 6, p. 917-931
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| Subject: | Market microstructure | Price formation | Markov chain | Forecasting ability | Marktmikrostruktur | Börsenkurs | Share price | Theorie | Theory | Markov-Kette | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1397283 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011910934