نتایج جستجو برای: market microstructure models
تعداد نتایج: 1108590 فیلتر نتایج به سال:
2017
Mehdi Lallouache
Frédéric Abergel
Using a new high frequency quality data set we provide a precise empirical study of the interdealer spot market. We check that the main stylized facts of financial time series are valid for the FX market: fat-tailed distribution of returns, aggregational normality and volatility clustering. We report two standard microstructure phenomena: microstructure noise effects in the signature plot and t...
Journal:
:Journal of International Economics
2003
Journal:
:SSRN Electronic Journal
2013
Journal:
:European Financial Management
2005
Journal:
:SSRN Electronic Journal
2010
Journal:
:Journal of Financial Markets
2020
Journal:
:SSRN Electronic Journal
1999
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