Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model-Reference-Cited by-同舟云学术

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Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model

Published:2018-03-16 Issue:6 Volume:18 Page:917-931
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Taranto Damian Eduardo¹,Bormetti Giacomo²^ORCID,Bouchaud Jean-Philippe³,Lillo Fabrizio¹,Tóth Bence³

Affiliation:

1. Scuola Normale Superiore, Piazza dei Cavalieri 7, 56126Pisa, Italy.

2. Department of Mathematics, University of Bologna, Piazza di Porta San Donato 5, 40126Bologna, Italy.

3. Capital Fund Management, 23-25, Rue de l’Université, 75007Paris, France.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2017.1397283

Reference20 articles.

1. Hawkes model for price and trades high-frequency dynamics

2. Estimation in the Mixture Transition Distribution Model

3. Sequential Quadratic Programming

4. Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes

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