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Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733

A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market

Li, Zhicheng; Chen, Xinyun; Xing, Haipeng - In: Economic modelling 118 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014229238

Effizienz in Aktienmärkten : Bewertung von Information unter Berücksichtigung von Wechselwirkungen in Multiagentensystemen

Rothenstein, Roland - 2004

Persistent link: https://www.econbiz.de/10002230490

Improved volatility estimation based on limit order books

Bibinger, Markus; Jirak, Moritz; Reiß, Markus - 2014

, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of …

Persistent link: https://www.econbiz.de/10010412417

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

Price discovery in fragmented markets

Jong, Frank de; Schotman, Peter C. - 2003

Persistent link: https://www.econbiz.de/10001778469

A Markov-switching multifractal inter-trade duration model, with application to US equities

Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342

Persistent link: https://www.econbiz.de/10010255140

Statistical arbitrage pairs trading with high-frequency data

Stübinger, Johannes; Bredthauer, Jens - In: International journal of economics and financial issues … 7 (2017) 4, pp. 650-662

Persistent link: https://www.econbiz.de/10011833680

Polynomial moving regression band stocks trading system

Cohen, Gil - In: Risks : open access journal 12 (2024) 10, pp. 1-15

In this research, we attempted to fit a trading system based on polynomial moving regression bands (MRB) to Nasdaq100 stocks from 2017 till the end of March 2024. Since stocks movement does not follow a linear behavior, we used multiple degree polynomial regression models to identify the stocks'...

Persistent link: https://www.econbiz.de/10015135762

Does intraday time-series momentum exist in Chinese stock index futures market?

Li, Yi; Shen, Dehua; Wang, Pengfei; Zhang, Wei - In: Finance research letters 35 (2020), pp. 1-11

Persistent link: https://www.econbiz.de/10012438384