Pages that link to "Item:Q1623998"
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The following pages link to Why is equity order flow so persistent? (Q1623998):
Displaying 15 items.
- Dynamic optimal execution in a mixed-market-impact Hawkes price model (Q261925) (← links)
- Order-splitting and long-memory in an order-driven market (Q977582) (← links)
- Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows (Q1676386) (← links)
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion (Q2060649) (← links)
- A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
- The effects of trade size and market depth on immediate price impact in a limit order book market (Q2246738) (← links)
- Statistical characteristics of price impact in high-frequency trading (Q2699613) (← links)
- Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
- Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
- The information content of high-frequency traders aggressive orders: recent evidence (Q4957239) (← links)
- A stationary Kyle setup: microfounding propagator models (Q4992316) (← links)
- Forecasting jump arrivals in stock prices: new attention-based network architecture using limit order book data (Q5120733) (← links)
- Deep learning for limit order books (Q5234311) (← links)
- Long-range memory test by the burst and inter-burst duration distribution (Q5856921) (← links)
- Exact solution to a generalised Lillo-Mike-Farmer model with heterogeneous order-splitting strategies (Q6564693) (← links)
