Nonlinear dynamics in Nasdaq dealer quotes

DOI10.1016/j.csda.2006.09.011zbMath1157.91344OpenAlexW2062957972MaRDI QIDQ1010569

Bart Frijns, Peter C. Schotman

Publication date: 6 April 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/72450963/schotman_2006_nonlinear_dynamics_in_nasdaq_dealer.pdf

zbMATH Keywords

high frequency dataerror correction modelsdealer marketsnonlinear impulse-response functions

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• Impulse response analysis in nonlinear multivariate models
• Continuous Auctions and Insider Trading

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