SCOPUS 정보 검색 플랫폼

Volumn 1, Issue 1, 2011, Pages 35-43

Forecasting prices from level-I quotes in the presence of hidden liquidity

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Indexed keywords

EID: 84908130544 PISSN: 21585571 EISSN: 21576203 Source Type: Journal
DOI: 10.3233/AF-2011-004 Document Type: Article

Times cited : (30)

References (11)

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3
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- Statistical modeling of high frequency financial data: Facts models and challenges
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- Cont, R.¹

5
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- A stochastic model for order book dynamics
- Cont, R., Stoikov, S., Talreja, R., 2010. A stochastic model for order book dynamics. Operations Research 58 (3) 549-563
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- Zero-intelligence realized variance estimation
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- Gatheral, J.¹ Oomen, R.²

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- The information content of the limit order book: Evidence from the nyse specialist trading decisions
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9
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- Working paper
- Hellströem, J., Simonsen, O., 2009. Does the open limit order book reveal information about short-run stock price movements?. Working paper
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- Hellströem, J.¹ Simonsen, O.²

11
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- Òstatistical theory of the continuous double auction
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.