Multi-scale representation of high frequency market liquidity
نویسندگان
چکیده
منابع مشابه
Multi-scale representation of high frequency market liquidity
We introduce an event based framework mapping financial data onto a state based discretisation of time series. The mapping is intrinsically multi-scale and naturally accommodates itself with tick-by-tick data. Within this framework, we define an information theoretic quantity that characterises the unlikeliness of price trajectories and, akin to a liquidity measure, detects and predicts stress ...
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ژورنال
عنوان ژورنال: Algorithmic Finance
سال: 2016
ISSN: 2158-5571,2157-6203
DOI: 10.3233/af-160054