Measuring the impact of option market activity on the stock market: Bivariate point process models of stock and option transactions
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Cited by:
- Youzong Xu & Bo Li, 2017. "Behavioral heterogeneity and financial markets: Locked/crossed quotes under informationally efficient pricing," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1384524-138, January.
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Keywords
Autoregressive conditional duration Informed trading;Statistics
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