Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472)
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scientific article; zbMATH DE number 6979503
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model |
scientific article; zbMATH DE number 6979503 |
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Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (English)
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14 November 2018
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market microstructure
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price formation
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Markov chain
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forecasting ability
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