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Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature

Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751

Persistent link: https://www.econbiz.de/10003748679

Large Large-trader activity weakens the long memory of limit order markets

Primicerio, Kevin; Challet, Damien - In: Market microstructure and liquidity 4 (2018) 1/2, pp. 1-12

Persistent link: https://www.econbiz.de/10012256411

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

Engle, Robert F.; Russell, Jeffrey R. - 1995

Persistent link: https://www.econbiz.de/10000929607

The logarithmic ACD model : an application to the bid-ask quote process of the NYSE stocks

Bauwens, Luc; Giot, Pierre - In: Annales d'économie et de statistique (2000), pp. 117-149

Persistent link: https://www.econbiz.de/10001543399

A minimal noise trader model with realistic time series properties

Alfarano, Simone (contributor); Lux, Thomas (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001781210

Price discovery in fragmented markets

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

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

The Genoa artificial stock market : microstructure and simulations

Marchesi, M. (contributor) - In: Heterogenous agents, interactions and economic performance, (pp. 277-289). 2003

Persistent link: https://www.econbiz.de/10001750269

Modelling realized variance when returns are serially correlated

Oomen, Roel C. A. - 2004

Persistent link: https://www.econbiz.de/10002194843

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

Rothenstein, Roland - 2004

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

Modeling High-Frequency Non-Homogeneous Order Flows by Compound Cox Processes

Chertok, Andrey - 2014

A micro-scale model is proposed for the evolution of a limit order book in modern high-frequency trading applications. Within this model, order flows are described by doubly stochastic Poisson processes (also called Cox processes) taking account of the stochastic character of the intensities of...

Persistent link: https://www.econbiz.de/10013060874