Intraday trade and quote dynamics: A Cox regression analysis (Q1013159)
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scientific article; zbMATH DE number 5544609
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intraday trade and quote dynamics: A Cox regression analysis |
scientific article; zbMATH DE number 5544609 |
Statements
Intraday trade and quote dynamics: A Cox regression analysis (English)
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17 April 2009
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dependent point processes
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market microstructure
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high-frequency finance
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TAQ data
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Cox proportional hazards model
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