Nonlinear dynamics in Nasdaq dealer quotes
From MaRDI portal
Publication:1010569
DOI10.1016/j.csda.2006.09.011zbMath1157.91344MaRDI QIDQ1010569
Bart Frijns, Peter C. Schotman
Publication date: 6 April 2009
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://cris.maastrichtuniversity.nl/ws/files/72450963/schotman_2006_nonlinear_dynamics_in_nasdaq_dealer.pdf
91B24: Microeconomic theory (price theory and economic markets)
91B26: Auctions, bargaining, bidding and selling, and other market models
Related Items
Volatility spillovers, interdependence and comovements: a Markov switching approach, Automated variable selection in vector multiplicative error models, DETECTING FRACTAL/MULTIFRACTAL AND ASYMMETRIC PROPERTIES IN AN ARTIFICIAL QUOTE-DRIVEN FINANCIAL MARKET
Cites Work