A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3022804369 / rank | |||
Normal rank | |||
Revision as of 23:32, 19 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)
0 references
6 June 2014
0 references
high-frequency trading data
0 references
point process
0 references
long memory
0 references
time deformation
0 references
regime-switching model
0 references
market microstructure
0 references
liquidity
0 references
