Financial Econometrics and Empirical Market Microstructure
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19

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1

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Published By Springer International Publishing

9783319099453, 9783319099460

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

How Tick Size Affects the High Frequency Scaling of Stock Return Distributions

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_6 ◽

2014 ◽

pp. 55-76

Author(s):

Gianbiagio Curato ◽

Fabrizio Lillo

Keyword(s):

High Frequency ◽

Stock Return ◽

Frequency Scaling ◽

Tick Size ◽

Return Distributions

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Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_1 ◽

2014 ◽

pp. 1-11

Author(s):

Nikolay Andreev

Keyword(s):

Mathematical Models ◽

Portfolio Management ◽

Price Impact ◽

Optimal Portfolio ◽

Illiquid Markets

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Spread Modelling Under Asymmetric Information

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_9 ◽

2014 ◽

pp. 111-129

Author(s):

Sergey Kazachenko

Keyword(s):

Asymmetric Information

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Market Shocks: Review of Studies

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_7 ◽

2014 ◽

pp. 77-92

Author(s):

Mariya Frolova

Keyword(s):

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Revisiting of Empirical Zero Intelligence Models

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_3 ◽

2014 ◽

pp. 25-36

Author(s):

Vyacheslav Arbuzov

Keyword(s):

Intelligence Models ◽

Zero Intelligence

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Adaptive Stress Testing: Amplifying Network Intelligence by Integrating Outlier Information (Draft 16)

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_11 ◽

2014 ◽

pp. 153-193

Author(s):

Alan Laubsch

Keyword(s):

Stress Testing ◽

Network Intelligence

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Application of Copula Models for Modeling One-Dimensional Time Series

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_15 ◽

2014 ◽

pp. 225-239

Author(s):

Vadim Onishchenko ◽

Henry Penikas

Keyword(s):

Time Series ◽

Copula Models ◽

One Dimensional

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Raising Issues About Impact of High Frequency Trading on Market Liquidity

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_14 ◽

2014 ◽

pp. 215-223

Author(s):

Vladimir Naumenko

Keyword(s):

High Frequency ◽

Market Liquidity ◽

High Frequency Trading

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Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_2 ◽

2014 ◽

pp. 13-23

Author(s):

Nikolay Andreev ◽

Victor Lapshin

Keyword(s):

Nonlinear Dynamics ◽

High Frequency ◽

High Frequency Data ◽

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On the Modeling of Financial Time Series

Financial Econometrics and Empirical Market Microstructure ◽

10.1007/978-3-319-09946-0_10 ◽

2014 ◽

pp. 131-151

Author(s):

Aleksey Kutergin ◽

Vladimir Filimonov

Keyword(s):

Time Series ◽

Financial Time Series ◽

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