Review of statistical approaches for modeling high-frequency trading data
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Publication:6108877
DOI10.1007/s13571-022-00280-7OpenAlexW4224981706MaRDI QIDQ6108877
Kara J. Karpman, Chiranjit Dutta, Ravishanker, Nalini, Sumanta Basu
Publication date: 30 June 2023
Published in: Sankhyā. Series B (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13571-022-00280-7
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov processes: estimation; hidden Markov models (62M05)
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