Liquidity fluctuations and the latent dynamics of price impact (Q5068077)
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scientific article; zbMATH DE number 7503256
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Liquidity fluctuations and the latent dynamics of price impact |
scientific article; zbMATH DE number 7503256 |
Statements
Liquidity fluctuations and the latent dynamics of price impact (English)
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5 April 2022
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liquidity
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price impact
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order flow imbalance
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Kalman filter
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0.7877472639083862
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0.7782123684883118
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0.7740997076034546
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0.7700620293617249
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0.7647421956062317
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