Statistical characteristics of price impact in high-frequency trading
Can Jia, Tianmin Zhou and Handong Li
| Year of publication: |
2021
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|---|---|
| Authors: | Jia, Can ; Zhou, Tianmin ; Li, Handong |
| Published in: |
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet. - Berlin : De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 25.2021, 3, p. 19-34
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| Subject: | HFV model | permanent price impact | price change | temporary price impact | trade volume | Börsenkurs | Share price | Handelsvolumen der Börse | Trading volume | Elektronisches Handelssystem | Electronic trading | Volatilität | Volatility | Preis | Price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1515/snde-2018-0067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012594148