Narrow search
Showing 1 - 10 of 41
Cover Image
Price impact and bursts in liquidity provision
Gençay, Ramazan; Mahmoodzadeh, S.; Rojček, Jakub; … - In: Quantitative finance 18 (2018) 7, pp. 1129-1148
Persistent link: https://www.econbiz.de/10011911529
Cover Image
Forecasting and trading high frequency volatility on large indices
Liu, Fei; Pantelous, Athanasios A.; Mettenheim, … - In: Quantitative finance 18 (2018) 5, pp. 737-748
Persistent link: https://www.econbiz.de/10011907914
Cover Image
Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market
Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760
Persistent link: https://www.econbiz.de/10011907915
Cover Image
Linear models for the impact of order flow on prices, I.: History dependent impact models
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 903-915
Persistent link: https://www.econbiz.de/10011910928
Cover Image
Linear models for the impact of order flow on prices, II.: The Mixture Transition Distribution model
Taranto, Damian Eduardo; Bormetti, Giacomo; Bouchaud, … - In: Quantitative finance 18 (2018) 6, pp. 917-931
Persistent link: https://www.econbiz.de/10011910934
Cover Image
Statistical tests of distributional scaling properties for financial return series
Hallam, Mark; Olmo, Jose - In: Quantitative finance 18 (2018) 7, pp. 1211-1232
Persistent link: https://www.econbiz.de/10011911533
Cover Image
Volatility dynamics under an endogenous Markov-switching framework : a cross-market approach
Song, Wonho; Ryu, Doojin; Webb, Robert I. - In: Quantitative finance 18 (2018) 9, pp. 1559-1571
Persistent link: https://www.econbiz.de/10011913204
Cover Image
Modelling the shape of the limit order book
Platania, Federico; Serrano, Pedro; Tapia, Mikel - In: Quantitative finance 18 (2018) 9, pp. 1575-1597
Persistent link: https://www.econbiz.de/10011913208
Cover Image
A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
Cover Image
High-dimensional Hawkes processes for limit order books : modelling, empirical analysis and numerical calibration
Lu, Xiaofei; Abergel, Frédéric - In: Quantitative finance 18 (2018) 2, pp. 249-264
Persistent link: https://www.econbiz.de/10011905913