Statistical identification with hidden Markov models of large order splitting strategies in an equity market

New Journal of Physics

Volumn 12, Issue , 2010, Pages

  Vaglica, Gabriella ^a   Lillo, Fabrizio ^a,b   Mantegna, Rosario N ^a  

^a UNIVERSITY OF PALERMO   (Italy)

^b SANTA FE INSTITUTE   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

AVERAGE LENGTH; EQUITY MARKETS; FINANCIAL MARKET; HIDDEN ORDER; LOCAL MARKETS; ORDER SPLITTING; PARTICIPATION RATE; SEGMENTATION METHODS; STOCK EXCHANGE;

COMMERCE; OBJECT RECOGNITION; SALES; TIME SERIES;

HIDDEN MARKOV MODELS;

EID: 77956586669     PISSN: 13672630     EISSN: None     Source Type: Journal    
DOI: 10.1088/1367-2630/12/7/075031     Document Type: Article

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