Information Content of Cross-Sectional and Multilevel Order Flow Imbalances: A Bayesian Approach-Reference-Cited by-同舟云学术

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Information Content of Cross-Sectional and Multilevel Order Flow Imbalances: A Bayesian Approach

Published:2023 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Kolm Petter N.,Westray Nicholas

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference72 articles.

1. Limit Order Books

2. Optimal Execution of Portfolio Transactions;Robert Almgren;Journal of Risk,2001

3. Controlling the False Discovery Rate: A Practical and Powerful Approach to Multiple Testing;Yoav Benjamini;Journal of the Royal Statistical Society: Series B (Methodological),1995

4. The Control of the False Discovery Rate in Multiple Testing Under Dependency;Yoav Benjamini;Annals of Statistics,2001

5. Dissecting Cross-Impact on Stock Markets: An Empirical Analysis;Michael Benzaquen;Journal of Statistical Mechanics: Theory and Experiment,2017

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