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~isPartOf:"Quantitative finance"
~subject:"Asymmetrische Information"
~subject:"High-frequency data"
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Asymmetrische Information
High-frequency data
Market microstructure
38
Marktmikrostruktur
38
Börsenkurs
29
Share price
29
Securities trading
23
Theorie
23
Theory
23
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Volatility
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Volatilität
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Limit order book
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Neuronale Netze
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Noise Trading
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Noise trading
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Price formation
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Abergel, Frédéric
1
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Cheng, Tsung-Chi
1
Cont, Rama
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1
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1
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1
Saliba, Pamela
1
Salvador, E.
1
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1
Smith, Benjamin
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Quantitative finance
Journal of financial markets
14
Journal of banking & finance
11
Journal of econometrics
10
International review of economics & finance : IREF
9
Journal of empirical finance
7
Journal of international financial markets, institutions & money
7
International review of financial analysis
6
Economic modelling
5
Economics letters
5
Finance research letters
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Journal of financial economics
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International journal of finance & economics : IJFE
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Journal of economic theory
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Pacific-Basin finance journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Asia-Pacific journal of financial studies
3
International journal of economics and finance
3
Journal of economics and finance
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Journal of international money and finance
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Research paper series / Swiss Finance Institute
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Review of quantitative finance and accounting
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The journal of finance : the journal of the American Finance Association
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Working paper
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Working paper / Norges Bank
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Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Annals of finance
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Applied economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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European economic review : EER
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Finance and stochastics
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Global finance journal
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IMF working papers
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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1
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:
2
Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi
;
Lai, Hung-neng
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 771-796
Persistent link: https://www.econbiz.de/10012500188
Saved in:
3
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
4
The information content of high-frequency traders aggressive orders : recent evidence
Saliba, Pamela
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1779-1794
Persistent link: https://www.econbiz.de/10012295637
Saved in:
5
The influence of intraday seasonality on volatility transmission pattern
Alemany, N.
;
Aragó Manzana, Vicent
;
Salvador, E.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
Saved in:
6
Universal features of price formation in financial markets : perspectives from deep learning
Sirignano, Justin
;
Cont, Rama
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1449-1459
Persistent link: https://www.econbiz.de/10012194797
Saved in:
7
Learning multi-market microstructure from order book data
Ju, Geonhwan
;
Kim, Kyoung-Kuk
;
Lim, Dong-Young
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1517-1529
Persistent link: https://www.econbiz.de/10012194803
Saved in:
8
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei
;
Abergel, Frédéric
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 249-264
Persistent link: https://www.econbiz.de/10011905913
Saved in:
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