A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090): Difference between revisions
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Revision as of 08:13, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Markov-switching multifractal inter-trade duration model, with application to US equities |
scientific article |
Statements
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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