Person:1623996: Difference between revisions

Revision as of 08:57, 13 December 2023

Publication	Date of Publication	Type
Do fundamentals shape the price response? A critical assessment of linear impact models	2023-06-20	Paper
A stationary Kyle setup: microfounding propagator models	2021-06-08	Paper
Why is equity order flow so persistent?	2018-11-15	Paper
Linear models for the impact of order flow on prices. I. History dependent impact models	2018-11-14	Paper
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model	2018-11-14	Paper
Studies of the limit order book around large price changes	2010-06-23	Paper
The Epps effect revisited	2009-12-07	Paper

No records found.

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

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