Statistical modeling of high-frequency financial data

IEEE Signal Processing Magazine

Volumn 28, Issue 5, 2011, Pages 16-25

  Cont, Rama ^a  

^a Columbia University ^*  (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; CORRELATION THEORY; COSTS; STATISTICAL METHODS;

COMPUTATIONAL CHALLENGES; ELECTRONIC ORDERING; HIGH FREQUENCY DATA; HIGH FREQUENCY HF; LIMIT ORDER BOOK; MARKET DYNAMICS; STATISTICAL MODELING; TRANSACTION LEVEL;

DATA HANDLING;

EID: 85032750932     PISSN: 10535888     EISSN: None     Source Type: Journal    
DOI: 10.1109/MSP.2011.941548     Document Type: Article

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