Price signatures

DOI10.1080/14697688.2018.1532102zbMath1428.62465OpenAlexW4240691450MaRDI QIDQ5234334

Roel C. A. Oomen

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1532102

zbMATH Keywords

functional data analysisbootstrap methodsexecution costsFX liquidity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Functional limit theorems; invariance principles (60F17)

Related Items (1)

A generative model of a limit order book using recurrent neural networks

Uses Software

• fda (R)

Cites Work

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• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
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• White noise testing and model diagnostic checking for functional time series
• Statistical inferences for functional data
• The Stationary Bootstrap
• Automatic Block-Length Selection for the Dependent Bootstrap
• Execution in an aggregator
• Last look
• Internalisation by electronic FX spot dealers
• Analysis of Variance for Functional Data
• One‐Way <scp>anova</scp> for Functional Data via Globalizing the Pointwise F‐test

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