Estimating the efficient price from the order flow: a Brownian Cox process approach (Q2447646)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the efficient price from the order flow: a Brownian Cox process approach |
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Estimating the efficient price from the order flow: a Brownian Cox process approach (English)
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28 April 2014
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response function
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market microstructure
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Cox processes
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fractional part of Brownian motion
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nonparametric estimation
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functional limit theorems
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