Estimating the efficient price from the order flow: a Brownian Cox process approach (Q2447646)
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scientific article; zbMATH DE number 6289375
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| English | Estimating the efficient price from the order flow: a Brownian Cox process approach |
scientific article; zbMATH DE number 6289375 |
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Estimating the efficient price from the order flow: a Brownian Cox process approach (English)
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28 April 2014
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response function
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market microstructure
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Cox processes
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fractional part of Brownian motion
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nonparametric estimation
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functional limit theorems
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0.8532753
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0.8434608
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0.8428216
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0.8366032
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0.8353065
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0.83494246
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0.83398837
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0.83312494
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0.83272415
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