A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090): Difference between revisions

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Latest revision as of 13:51, 8 July 2024

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A Markov-switching multifractal inter-trade duration model, with application to US equities
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    A Markov-switching multifractal inter-trade duration model, with application to US equities (English)
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    6 June 2014
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    high-frequency trading data
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    point process
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    long memory
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    time deformation
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    regime-switching model
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    market microstructure
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    liquidity
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