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~person:"Andersen, Torben"
~subject:"Asymmetrische Information"
~subject:"Electronic trading"
~subject:"Estimation theory"
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Asymmetrische Information
Electronic trading
Estimation theory
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10
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9
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Andersen, Torben
Theissen, Erik
16
Li, Yingying
12
O'Hara, Maureen
11
Corsi, Fulvio
10
Mykland, Per A.
10
Nolte, Ingmar
10
Rime, Dagfinn
9
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8
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Kyle, Albert S.
8
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Audrino, Francesco
7
Easley, David
7
Linton, Oliver
7
Podolskij, Mark
7
Biais, Bruno
6
Bibinger, Markus
6
Cartea, Álvaro
6
Foucault, Thierry
6
Giot, Pierre
6
Neely, Christopher J.
6
Zheng, Xinghua
6
Abergel, Frédéric
5
Bondarenko, Oleg
5
Ibikunle, Gbenga
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King, Michael R.
5
Large, Jeremy
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Li, Z. Merrick
5
Liu, Zhi
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5
Menkhoff, Lukas
5
Menkveld, Albert J.
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Nyholm, Ken
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Osler, Carol
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Peluso, Stefano
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
3
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
4
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Saved in:
5
Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
Saved in:
6
Reflecting on the VPIN dispute
Andersen, Torben
;
Bondarenko, Oleg
- In:
Journal of financial markets
17
(
2014
),
pp. 53-64
Persistent link: https://www.econbiz.de/10010436245
Saved in:
7
VPIN and the flash crash
Andersen, Torben
;
Bondarenko, Oleg
;
O'Hara, Maureen
- In:
Journal of financial markets
17
(
2014
),
pp. 1-46
Persistent link: https://www.econbiz.de/10010436257
Saved in:
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