How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

SSRN Electronic Journal ◽

10.2139/ssrn.2139657 ◽

2012 ◽

Author(s):

Karine Michalon

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Return Volatility ◽

Frequency Data ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series ◽

10.1002/0471264105.ch5 ◽

2003 ◽

pp. 175-220

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series - Wiley Series in Probability and Statistics ◽

10.1002/9780470644560.ch5 ◽

2010 ◽

pp. 231-285

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series - Wiley Series in Probability and Statistics ◽

10.1002/0471746193.ch5 ◽

2005 ◽

pp. 206-250

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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Econometric Forecasting and High-Frequency Data Analysis

10.1142/6664 ◽

2008 ◽

Author(s):

Roberto S Mariano ◽

Yiu-Kuen Tse

Keyword(s):

Data Analysis ◽

High Frequency ◽

High Frequency Data ◽

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Covariance estimation using high-frequency data: Analysis of Nord Pool electricity forward data

2010 7th International Conference on the European Energy Market ◽

10.1109/eem.2010.5558684 ◽

2010 ◽

Author(s):

Gudbrand Lien ◽

Erik Haugom ◽

Sjur Westgaard ◽

Per Bjarte Solibakke

Keyword(s):

Data Analysis ◽

High Frequency ◽

Covariance Estimation ◽

High Frequency Data ◽

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Estimation for high-frequency data under parametric market microstructure noise

Annals of the Institute of Statistical Mathematics ◽

10.1007/s10463-020-00762-3 ◽

2020 ◽

Author(s):

Simon Clinet ◽

Yoann Potiron

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Market Microstructure Noise

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A Hausman test for the presence of market microstructure noise in high frequency data

Journal of Econometrics ◽

10.1016/j.jeconom.2018.12.013 ◽

2019 ◽

Vol 211 (1) ◽

pp. 176-205 ◽

Author(s):

Yacine Aït-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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High-Frequency Data Analysis of Foreign Exchange Markets

Agent-Based Social Systems - Applications of Data-Centric Science to Social Design ◽

10.1007/978-981-10-7194-2_15 ◽

2019 ◽

pp. 225-245

Author(s):

Aki-Hiro Sato

Keyword(s):

Data Analysis ◽

Foreign Exchange ◽

High Frequency ◽

Foreign Exchange Markets ◽

High Frequency Data ◽

Frequency Data ◽

Exchange Markets

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The magnet effect of price limits: evidence from high-frequency data on Taiwan Stock Exchange

Journal of Empirical Finance ◽

10.1016/s0927-5398(02)00024-5 ◽

2003 ◽

Vol 10 (1-2) ◽

pp. 133-168 ◽

Author(s):

David D. Cho ◽

Jeffrey Russell ◽

George C. Tiao ◽

Ruey Tsay

Keyword(s):

High Frequency ◽

Stock Exchange ◽

High Frequency Data ◽

Frequency Data ◽

Price Limits ◽

Taiwan Stock Exchange ◽

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