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Empirical models of the intraday process of price changes and liquidity : a transaction level approach

Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763098

Topics in empirical market microstructure : measuring the informational content of order flow

Wünsche, Oliver - 2010

Persistent link: https://www.econbiz.de/10008669012

Econometric analysis of financial transaction data : Pitfalls and opportunities

Hautsch, Nikolaus; Pohlmeier, Winfried - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 5-30

Persistent link: https://www.econbiz.de/10001650462

Econometric analysis of financial transaction data : pitfalls and opportunities

Hautsch, Nikolaus - 2001

Persistent link: https://www.econbiz.de/10014378893

Econometric analysis of financial transaction data : pitfalls and opportunities

Hautsch, Nikolaus; Pohlmeier, Winfried - 2001

The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...

Persistent link: https://www.econbiz.de/10011544938