Search Results - subject:"ultra-high-frequency data"

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - In: Journal of forecasting 43 (2024) 8, pp. 2982-3008

Persistent link: https://www.econbiz.de/10015110592

Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data

Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485

Persistent link: https://www.econbiz.de/10014327571

Forecasting beta using ultra high frequency data

Zhou, Jian - In: Journal of forecasting 44 (2025) 2, pp. 485-496

Persistent link: https://www.econbiz.de/10015374057

Intraday option price changes and net buying pressure

Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297

Persistent link: https://www.econbiz.de/10012803523

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange

Karaa, Rabaa; Slim, Skander; Hmaied, Dorra Mezzez - In: Research in international business and finance 44 (2018), pp. 88-99

Persistent link: https://www.econbiz.de/10011983015

Jumps at ultra-high frequency : evidence from the Chinese stock market

Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013332776

Marked Hawkes process modeling of price dynamics and volatility estimation

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of empirical finance 40 (2017), pp. 174-200

Persistent link: https://www.econbiz.de/10011745018

What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?

Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535

Persistent link: https://www.econbiz.de/10011692397

Decimalization, Realized Volatility, and Market Microstructure Noise

Vuorenmaa, Tommi A. - Volkswirtschaftliche Fakultät, … - 2008

This paper studies empirically the effect of decimalization on volatility and market microstructure noise. We apply several non-parametric estimators in order to accurately measure volatility and market microstructure noise variance before and after the final stage of decimalization which, on...

Persistent link: https://www.econbiz.de/10005620054