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~isPartOf:"Economic modelling"
~isPartOf:"Quantitative finance"
~subject:"Börsenkurs"
~subject:"Volatilität"
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Search: subject:"Mikrostrukturanalyse"
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Börsenkurs
Volatilität
Market microstructure
51
Marktmikrostruktur
51
Share price
35
Securities trading
31
Wertpapierhandel
31
Theorie
30
Theory
30
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16
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13
Schätzung
13
Limit order book
12
Bid-ask spread
10
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10
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8
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37
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Lillo, Fabrizio
4
Abergel, Frédéric
3
Bouchaud, Jean-Philippe
3
Cont, Rama
3
Bormetti, Giacomo
2
Cucuringu, Mihai
2
Sornette, Didier
2
Taranto, Damian Eduardo
2
Tóth, Bence
2
Wehrli, Alexander
2
Achab, Massil
1
Alemany, N.
1
Alemany, Nuria
1
Antonov, Anton
1
Aragó Manzana, Vicent
1
Aragó, Vicent
1
Arumugam, Devika
1
Bacry, E.
1
Bel Hadj Ayed, Ahmed
1
Bucci, Frederic
1
Cang, Yuquan
1
Chen, Jingnan
1
Chen, Xinyun
1
Chu, Gang
1
Chung, Huimin
1
Ciacci, Alberto
1
Eisler, Zoltan
1
El Ouadghiri, Imane
1
Fiess, Norbert M.
1
Forde, Martin
1
Gao, Cheng
1
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1
Gradojevic, Nikola
1
Hizmeri, Rodrigo
1
Hult, Henrik
1
Hultin, Hanna
1
Huptas, Roman
1
Huré, Côme
1
Isaac, Alan Glen
1
Izzeldin, Marwan
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Economic modelling
Quantitative finance
Journal of econometrics
45
Journal of financial markets
26
Journal of banking & finance
23
Pacific-Basin finance journal
23
International review of financial analysis
21
Journal of financial economics
20
Market microstructure and liquidity
20
Journal of empirical finance
17
Finance research letters
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of international financial markets, institutions & money
12
The financial review : the official publication of the Eastern Finance Association
12
CFS working paper series
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Research in international business and finance
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Journal of economic dynamics & control
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Review of quantitative finance and accounting
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SFB 649 discussion paper
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The European journal of finance
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The review of financial studies
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International journal of finance & economics : IJFE
9
Journal of risk and financial management : JRFM
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
International journal of theoretical and applied finance
8
International review of economics & finance : IREF
8
Journal of financial and quantitative analysis : JFQA
8
NBER working paper series
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Research paper series / Swiss Finance Institute
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Applied mathematical finance
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NES working paper series : working paper
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SFB 649 Discussion Paper
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The North American journal of economics and finance : a journal of financial economics studies
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
Working paper
7
Applied economics
6
CFS Working Paper
6
Cambridge working papers in economics
6
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
37
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1
Cross-impact of order flow imbalance in equity markets
Cont, Rama
;
Cucuringu, Mihai
;
Zhang, Chao
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1373-1393
Persistent link: https://www.econbiz.de/10014419165
Saved in:
2
Analysis and modeling of client order flow in limit order markets
Cont, Rama
;
Cucuringu, Mihai
;
Glukhov, Vacslav
; …
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 187-205
Persistent link: https://www.econbiz.de/10014232614
Saved in:
3
A generative model of a limit order book using recurrent neural networks
Hultin, Hanna
;
Hult, Henrik
;
Proutiere, Alexandre
; …
- In:
Quantitative finance
23
(
2023
)
6
,
pp. 931-958
Persistent link: https://www.econbiz.de/10014304400
Saved in:
4
State-dependent Hawkes processes and their application to limit order book modelling
Morariu-Patrichi, Maxime
;
Pakkanen, Mikko S.
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 563-583
Persistent link: https://www.econbiz.de/10013167781
Saved in:
5
Optimal trade execution for Gaussian signals with power-law resilience
Forde, Martin
;
Sánchez-Betancourt, Leandro
;
Smith, Benjamin
- In:
Quantitative finance
22
(
2022
)
3
,
pp. 585-596
Persistent link: https://www.econbiz.de/10013167782
Saved in:
6
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander
;
Sornette, Didier
- In:
Quantitative finance
22
(
2022
)
2
,
pp. 213-240
Persistent link: https://www.econbiz.de/10013167733
Saved in:
7
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
8
Rule-based trading on an order-driven exchange : a reassessment
Isaac, Alan Glen
;
Ramaswamy, Vasudeva
- In:
Quantitative finance
23
(
2023
)
12
,
pp. 1871-1886
Persistent link: https://www.econbiz.de/10014452482
Saved in:
9
Algorithmic trading : intraday profitability and trading behavior
Arumugam, Devika
- In:
Economic modelling
128
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014464406
Saved in:
10
A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng
;
Chen, Xinyun
;
Xing, Haipeng
- In:
Economic modelling
118
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
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