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~isPartOf:"Quantitative finance"
~isPartOf:"The review of financial studies"
~subject:"Marktmikrostruktur"
~subject:"Volatilität"
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Marktmikrostruktur
Volatilität
Market microstructure
61
Börsenkurs
40
Share price
40
Theorie
35
Theory
35
Securities trading
27
Wertpapierhandel
27
Estimation
13
Schätzung
13
Volatility
12
Bourse
10
Börse
10
USA
10
United States
10
Bid-ask spread
9
Electronic trading
9
Elektronisches Handelssystem
9
Geld-Brief-Spanne
9
Handelsvolumen der Börse
8
Limit order book
8
Stochastic process
8
Stochastischer Prozess
8
Trading volume
8
Estimation theory
7
Schätztheorie
7
Forecasting model
6
Prognoseverfahren
6
Capital income
5
Financial market
5
Finanzmarkt
5
High-frequency data
5
Kapitaleinkommen
5
Liquidity
5
Liquidität
5
Time series analysis
5
Zeitreihenanalyse
5
Aktienmarkt
4
Artificial intelligence
4
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Undetermined
30
Free
12
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Article
61
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Article in journal
61
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61
Collection of articles of several authors
1
Sammelwerk
1
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English
61
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Bouchaud, Jean-Philippe
4
Lillo, Fabrizio
4
Abergel, Frédéric
3
Cont, Rama
3
Cucuringu, Mihai
3
Bernhardt, Dan
2
Bormetti, Giacomo
2
Easley, David
2
Huang, Roger D.
2
Hughson, Eric
2
Lehalle, Charles-Albert
2
O'Hara, Maureen
2
Seppi, Duane J.
2
Sornette, Didier
2
Stoll, Hans R.
2
Taranto, Damian Eduardo
2
Tóth, Bence
2
Wehrli, Alexander
2
Achab, Massil
1
Alemany, N.
1
Antonov, Anton
1
Aragó Manzana, Vicent
1
Aït-Sahalia, Yacine
1
Bacry, E.
1
Bakshi, Gurdip S.
1
Bel Hadj Ayed, Ahmed
1
Bellani, Claudio
1
Bossaerts, Peter L.
1
Brigo, Damiano
1
Bucci, Frederic
1
Cang, Yuquan
1
Cao, Charles Q.
1
Chen, Jingnan
1
Chen, Yu
1
Chen, Zhiwu
1
Cheng, Tsung-Chi
1
Ciacci, Alberto
1
Cooper, Michael
1
Dvoracek, Vladimir
1
Eisler, Zoltan
1
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Symposium on Market Microstructure <1990, Santa Barbara, Calif.>
1
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Quantitative finance
The review of financial studies
Journal of financial markets
88
Journal of banking & finance
72
Journal of financial economics
59
Journal of econometrics
52
Finance research letters
39
Journal of international financial markets, institutions & money
39
Pacific-Basin finance journal
39
International review of financial analysis
36
Journal of empirical finance
35
Journal of international money and finance
28
Market microstructure and liquidity
25
The European journal of finance
25
International journal of finance & economics : IJFE
21
Journal of economic dynamics & control
21
NBER working paper series
21
The financial review : the official publication of the Eastern Finance Association
20
CFS working paper series
19
International review of economics & finance : IREF
19
Journal of financial and quantitative analysis : JFQA
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Working paper / National Bureau of Economic Research, Inc.
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
The journal of futures markets
16
Economics letters
15
Working paper
15
Economic modelling
14
NBER Working Paper
14
Review of quantitative finance and accounting
14
Working paper / Norges Bank
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Discussion paper / Centre for Economic Policy Research
13
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
13
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of finance : the journal of the American Finance Association
13
SFB 649 discussion paper
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1
Trade co-occurrence, trade flow decomposition and conditional order imbalance in equity markets
Lu, Yutong
;
Reinert, Gesine
;
Cucuringu, Mihai
- In:
Quantitative finance
24
(
2024
)
6
,
pp. 779-809
Persistent link: https://www.econbiz.de/10015050797
Saved in:
2
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
3
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:
4
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:
5
The role of fleeting orders on option expiration days
Figueiredo, Antonio
;
Jain, Pankaj K.
;
Mishra, Suchismita
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1511-1529
Persistent link: https://www.econbiz.de/10014419175
Saved in:
6
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:
7
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:
8
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:
9
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:
10
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
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