Determining the integrated volatility via limit order books with multiple records
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Publication:4555173
DOI10.1080/14697688.2017.1307510zbMath1402.91718OpenAlexW3126016250MaRDI QIDQ4555173
Qiang Liu, Zhi Liu, Yiqi Liu, Deng Ding
Publication date: 19 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2017.1307510
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