Dimensional Analysis and Market Microstructure Invariance
Author:
Publisher
Elsevier BV
Reference21 articles.
1. Illiquidity and Stock Returns: Cross-Section and TimeSeries Effects;Yakov Amihud;The Journal of Financial Markets,2002
2. Intraday Trading Invariance in the E-Mini S&P 500 Futures Market
3. An Invariance Relationship in the Number of Buy-Sell Switching Points
4. Scaling, Self-similarity, and Intermediate Asymptotics
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1. Futures trading costs and market microstructure invariance: Identifying bet activity;Journal of Futures Markets;2024-03-07
2. Bias-optimal vol-of-vol estimation: the role of window overlapping;Decisions in Economics and Finance;2021-07-30
3. A simple microstructural explanation of the concavity of price impact;Mathematical Finance;2021-06-09
4. Bias-Optimal Vol-of-Vol Estimation: Insights from Mean-Reverting Models;SSRN Electronic Journal;2020
5. Theoretical and empirical analysis of trading activity;Mathematical Programming;2018-10-26
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