A Markov-switching multifractal inter-trade duration model, with application to US equities (Q2453090)
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scientific article; zbMATH DE number 6301473
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| English | A Markov-switching multifractal inter-trade duration model, with application to US equities |
scientific article; zbMATH DE number 6301473 |
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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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0.7797710299491882
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0.7787712216377258
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0.7786083817481995
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0.7744344472885132
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