Nonlinear dynamics in Nasdaq dealer quotes

Computational Statistics and Data Analysis

Volumn 51, Issue 4, 2006, Pages 2246-2266

  Frijns, Bart ^a   Schotman, Peter C ^b  

^a RADBOUD UNIVERSITY NIJMEGEN   (Netherlands)

^b MAASTRICHT UNIVERSITY   (Netherlands)

Author keywords

Dealer markets; Error correction models; High frequency data; Nonlinear impulse response functions

Indexed keywords

COMPUTER NETWORKS; ERROR CORRECTION; INFORMATION RETRIEVAL; MATHEMATICAL MODELS; VECTORS;

DEALER MARKETS; ELECTRONIC COMMUNICATION NETWORKS (ECN); ERROR CORRECTION MODELS; INSTINET; NONLINEAR IMPULSE RESPONSE FUNCTIONS;

FINANCIAL DATA PROCESSING;

EID: 33751231708     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.09.011     Document Type: Article

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