Multi-scale representation of high frequency market liquidity

DOI10.3233/AF-160054zbMath1397.62412arXiv1402.2198OpenAlexW3124701837MaRDI QIDQ4683437

Bastien Chopard, Anton Golub, Alexandre Dupuis, Gregor Chliamovitch

Publication date: 21 September 2018

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

Full work available at URL: https://arxiv.org/abs/1402.2198

zbMATH Keywords

information theoryforeign exchangeliquiditymulti-scalehigh frequency trading

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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