High frequency trading and stock index returns: a nonlinear dynamic analysis

DOI10.1016/J.CNSNS.2021.105710MaRDI QIDQ2656795zbMATH OpenOpenAlexFDO

Authors Aydin A. Cecen, Linlan Xiao, P. K. Jain

Publication date 16 March 2021

Published in Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cnsns.2021.105710

zbMATH Keywords

heavy-tailshigh frequency tradingMarkov propertymulti scale entropy

Mathematics Subject Classification ID

Financial markets (91G15)

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• Stock return and cash flow predictability: the role of volatility risk
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Cited in

(2)

• scientific article; zbMATH DE number 17282 (Why is no real title available?)
• Profiling high-frequency equity price movements in directional changes

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