A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Author:
Funder
Shandong University
National Natural Science Foundation of China
Hunan University
Peking University
National Science Foundation
NSF DMS
Publisher
Elsevier BV
Subject
Economics and Econometrics
Reference60 articles.
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4. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks;Bauwens;Annales D’Economie et de Statistique,2000
5. High-frequency trading and price discovery;Brogaard;Rev. Financ. Stud.,2014
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