Price Fluctuations from the Order Book Perspective - Empirical Facts and a Simple Model-Reference-Cited by-同舟云学术

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Price Fluctuations from the Order Book Perspective - Empirical Facts and a Simple Model

Published:2001 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Maslov Sergei,Mills Mark

Publisher

Elsevier BV

Reference17 articles.

1. Inverse Cubic Law for the Probability Distribution of Stock Price Variations Eur;P Gopikrishnan;Phys. J. B,1998

2. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market

3. From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets

4. The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets, submitted to the Review of Financial Studies;M M Dacorogna;Olsen & Associates working papers archive

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