Real-time market microstructure analysis: online transaction cost analysis
From MaRDI portal
Publication:5245456
DOI10.1080/14697688.2014.884283zbMath1402.91975arXiv1302.6363MaRDI QIDQ5245456
M. Rowley, Yutheeka Gadhyan, Robert Azencott, Nathan Lael Joseph, Charles-Albert Lehalle, Arjun Beri
Publication date: 8 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.6363
performance evaluation; transaction costs; market microstructure; learning and adaptation; empirical time series analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G99: Actuarial science and mathematical finance
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