Linear models for the impact of order flow on prices. II: The mixture transition distribution model (Q4554472)
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scientific article; zbMATH DE number 6979503
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| English | Linear models for the impact of order flow on prices. II: The mixture transition distribution model |
scientific article; zbMATH DE number 6979503 |
Statements
Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (English)
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14 November 2018
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market microstructure
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price formation
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Markov chain
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forecasting ability
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0.777908980846405
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0.7458786368370056
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0.7435747981071472
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0.7373820543289185
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0.7335714101791382
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