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Detecting price jumps in the presence of market microstructure noise - MaRDI portal

Detecting price jumps in the presence of market microstructure noise (Q5228603)

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scientific article; zbMATH DE number 7092327
Language Label Description Also known as
English
Detecting price jumps in the presence of market microstructure noise
scientific article; zbMATH DE number 7092327

    Statements

    title
    Detecting price jumps in the presence of market microstructure noise (English)
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    author
    Yucheng Sun
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    publication date
    12 August 2019
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    zbMATH Keywords
    jumps
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    market microstructure noise
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    high-frequency price data
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    Identifiers

    Mathematics Subject Classification ID
    62G05
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    62G10
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    62G20
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    62P05
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    zbMATH DE Number
    7092327
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    OpenAlex ID
    W2964247287
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    Wikidata QID
    Q127455324
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