Determining the integrated volatility via limit order books with multiple records (Q4555173)
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scientific article; zbMATH DE number 6981284
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Determining the integrated volatility via limit order books with multiple records |
scientific article; zbMATH DE number 6981284 |
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Determining the integrated volatility via limit order books with multiple records (English)
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19 November 2018
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high-frequency data
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limit order books
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microstructure noise
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integrated volatility
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multiple records
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