Analysing liquidity and absorption limits of electronic markets with volume durations

DOI10.1080/14697680701545699zbMath1140.91469OpenAlexW2040958375MaRDI QIDQ3518375

Wing Lon Ng

Publication date: 7 August 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22109

zbMATH Keywords

copulasfinancial time seriesstatistical methodsmarket microstructurefinancial econometricsquantitative financeeconometrics of financial marketseconometric methods

Mathematics Subject Classification ID

Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Normally distributed high-frequency returns: a subordination approach ⋮ Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange

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