scientific article; zbMATH DE number 7587392
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Publication:5106284
DOI10.3233/AF-200362zbMath1498.91413MaRDI QIDQ5106284
Sudhanshu Pani, Ranjan R. Chakravarty
Publication date: 16 September 2022
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
high resolutionlimit order marketsliquiditybid-ask spreadalgorithmic tradingdurationspair copula construction
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Financial markets (91G15)
Cites Work
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- The market impact of a limit order
- Vines -- a new graphical model for dependent random variables.
- Continuous Auctions and Insider Trading
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
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