Intraday trade and quote dynamics: A Cox regression analysis
type: Item
instance of: scholarly article
title: Intraday trade and quote dynamics: A Cox regression analysis
zbMATH Open document ID: 1158.91453
author: Chad R. Bhatti
published in: Mathematics and Computers in Simulation
publication date: 2009-04-17T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 5544609
zbMATH Keywords: dependent point processes
zbMATH Keywords: market microstructure
zbMATH Keywords: high-frequency finance
zbMATH Keywords: TAQ data
zbMATH Keywords: Cox proportional hazards model
describes a project that uses: R
describes a project that uses: survival
MaRDI profile type: Publication
full work available at URL: j.matcom.2008.12.020
OpenAlex ID: W2033790756
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DOI: 10.1016/J.MATCOM.2008.12.020
description: scientific article; zbMATH DE number 5544609