Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471)
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scientific article; zbMATH DE number 6979502
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| English | Linear models for the impact of order flow on prices. I. History dependent impact models |
scientific article; zbMATH DE number 6979502 |
Statements
Linear models for the impact of order flow on prices. I. History dependent impact models (English)
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14 November 2018
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market microstructure
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price formation
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market impact model
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liquidity modelling
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0.92455405
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0.84320074
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0.84241116
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0.84175134
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0.8286392
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0.8240063
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0.82260585
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