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Shah, Sudhir A. - In: Journal of mathematical economics 72 (2017), pp. 70-81

Persistent link: https://www.econbiz.de/10011833214

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

Separating predicted randomness from noise

Apesteguia, José; Ballester, Miguel Ángel - 2018

Persistent link: https://www.econbiz.de/10011792930

Forecasting the realized volatility in the Chinese stock market : further evidence

Pu, Wang; Chen, Yixiang; Ma, Feng - In: Applied economics 48 (2016) 31/33, pp. 3116-3130

Persistent link: https://www.econbiz.de/10011616957

Signaling in deterministic and stochastic settings

Jeitschko, Thomas D.; Normann, Hans-Theo - In: Journal of economic behavior & organization : JEBO 82 (2012) 1, pp. 39-55

Persistent link: https://www.econbiz.de/10009685056

How noise affects effort in tournaments

Drugov, Mikhail; Ryvkin, Dmitry - 2020

Persistent link: https://www.econbiz.de/10012213218

How noise affects effort in tournaments

Drugov, Mikhail; Ryvkin, Dmitry - In: Journal of economic theory 188 (2020), pp. 1-23

Persistent link: https://www.econbiz.de/10012424334

How noise affects effort in tournaments

Drugov, Mikhail; Ryvkin, Dmitry - 2020

Persistent link: https://www.econbiz.de/10012494018

Qnoise : A Generator of Non-Gaussian Colored Noise

Deza, J. Ignacio; Ihshaish, Hisham - 2022

We introduce a software generator for a class of colored (self-correlated) and non-Gaussian noise, whose statistics and …-called q-distribution is a handy source of self-correlated noise for a large range of applications. The q-noise—which tends … smoothly for q = 1 to Ornstein–Uhlenbeck noise with autocorrelation τ—is generated via a stochastic differential equation …

Persistent link: https://www.econbiz.de/10013311802