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High Frequency Financial Econometrics: Recent Developments - Studies in Empirical Economics Luc Bauwens 1st ed. Softcover of orig. ed. 2008 edition
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High Frequency Financial Econometrics: Recent Developments - Studies in Empirical Economics
Luc Bauwens
In this paper, we propose a new econometric approach to jointly model the time series dynamics of the trading process and the revisions of ask and bid prices. Namely, we test whether ask and bid quotes respond symmetrically to trade-related shocks, and whether buyer-initiated trades and seller-initiated trades are equally informative.
320 pages, 64 black & white tables, biography
| Mediji | Grāmatas Paperback Book (Grāmata ar mīksto vāku un līmēto muguru) |
| Izlaists | 2010. gada 19. oktobris |
| ISBN13 | 9783790825404 |
| Izdevēji | Springer-Verlag Berlin and Heidelberg Gm |
| Lapas | 312 |
| Izmēri | 155 × 235 × 17 mm · 449 g |
| Valoda | Vācu |
| Redaktors | Bauwens, Luc |
| Redaktors | Pohlmeier, Winfried |
| Redaktors | Veredas, David |
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