Pages that link to "Item:Q3368350"

The following pages link to The Long Memory of the Efficient Market (Q3368350):

Displaying 38 items.

• Application of the cluster expansion to a mathematical model of the long memory phenomenon in a financial market (Q372927) (← links)
• An accurate algorithm to calculate the Hurst exponent of self-similar processes (Q489372) (← links)
• The asymptotic behavior of the R/S statistic for fractional Brownian motion (Q618011) (← links)
• Order aggressiveness, pre-trade transparency, and long memory in an order-driven market (Q658641) (← links)
• The effect of round-off error on long memory processes (Q905390) (← links)
• Anomalous volatility scaling in high frequency financial data (Q1619205) (← links)
• Optimal execution in high-frequency trading with Bayesian learning (Q1619842) (← links)
• Why is equity order flow so persistent? (Q1623998) (← links)
• Bayesian inference of the fractional Ornstein-Uhlenbeck process under a flow sampling scheme (Q1729305) (← links)
• Particle-scale modelling of financial price dynamics (Q2005013) (← links)
• Order flow in the financial markets from the perspective of the fractional Lévy stable motion (Q2060649) (← links)
• Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics (Q2111626) (← links)
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process (Q2127364) (← links)
• A continuous and efficient fundamental price on the discrete order book grid (Q2149276) (← links)
• High frequency trading strategies, market fragility and price spikes: an agent based model perspective (Q2288938) (← links)
• Did long-memory of liquidity signal the European sovereign debt crisis? (Q2288945) (← links)
• Limit theorems for nearly unstable Hawkes processes (Q2341626) (← links)
• Fuzzy clustering of time series with time-varying memory (Q2677857) (← links)
• Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications (Q2691760) (← links)
• Linear models for the impact of order flow on prices. I. History dependent impact models (Q4554471) (← links)
• Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model (Q4554472) (← links)
• Low-latency liquidity inefficiency strategies (Q4555102) (← links)
• Market impact with multi-timescale liquidity (Q4619521) (← links)
• On the origin of power-law tails in price fluctuations (Q4647591) (← links)
• Market impact as anticipation of the order flow imbalance (Q4683068) (← links)
• Liquidity fluctuations and the latent dynamics of price impact (Q5068077) (← links)
• Optimal Market Making with Persistent Order Flow (Q5162846) (← links)
• Analyzing order flows in limit order books with ratios of Cox-type intensities (Q5215440) (← links)
• A Few Simulation Results of Basic Models of Limit Order Books (Q5227351) (← links)
• Deep learning for limit order books (Q5234311) (← links)
• Universal features of price formation in financial markets: perspectives from deep learning (Q5234368) (← links)
• A Semi-Markovian Modeling of Limit Order Markets (Q5266360) (← links)
• Long-range memory test by the burst and inter-burst duration distribution (Q5856921) (← links)
• Deep order flow imbalance: Extracting alpha at multiple horizons from the limit order book (Q6187364) (← links)
• STATISTICALLY VALIDATED LEAD-LAG NETWORKS AND INVENTORY PREDICTION IN THE FOREIGN EXCHANGE MARKET (Q6203296) (← links)
• When is cross impact relevant? (Q6546318) (← links)
• Non-uniformly sampled simulated price impact of an order-book (Q6633282) (← links)
• Price predictability at ultra-high frequency: entropy-based randomness test (Q6669783) (← links)