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Optimal Trading : A Model Pred...
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Wertpapierhandel
Market microstructure
4
Marktmikrostruktur
4
Noise Trading
4
Noise trading
4
Volatility
4
Volatilität
4
Börsenkurs
3
Estimation theory
3
High frequency data
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Market microstructure noise
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Schätztheorie
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Share price
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Efficient price
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Integrated volatility
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Quasi-maximum likelihood estimator
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Securities trading
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Theorie
2
Theory
2
Analysis of variance
1
Capital income
1
Efficient market hypothesis
1
Effizienzmarkthypothese
1
Estimation
1
Information
1
Jumps
1
Kapitaleinkommen
1
Limit order book
1
Mid price
1
Monte Carlo simulation
1
Monte-Carlo-Simulation
1
Nichtparametrisches Verfahren
1
Nonparametric statistics
1
Realized kernels
1
Realized volatility
1
Sampling
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Schätzung
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Statistical distribution
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Statistical test
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English
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Clinet, Simon
2
Potiron, Yoann
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
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ECONIS (ZBW)
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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Disentangling sources of high frequency market microstructure noise
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
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