The times change: multivariate subordination. Empirical facts
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References listed on IDEAS
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003.
"Fluctuations and response in financial markets: the subtle nature of `random' price changes,"
cond-mat/0307332, arXiv.org, revised Aug 2003.
- Jean-Philippe Bouchaud & Yuval Gefen & Marc Potters & Matthieu Wyart, 2003. "Fluctuations and response in financial markets: the subtle nature of `random' price changes," Science & Finance (CFM) working paper archive 0307332, Science & Finance, Capital Fund Management.
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- Mehdi Lallouache & Fr'ed'eric Abergel, 2013. "Tick Size Reduction and Price Clustering in a FX Order Book," Papers 1307.5440, arXiv.org, revised Sep 2014.
- Parker, Edgar, 2016. "Flash Crashes: The Role of Information Processing Based Subordination and the Cauchy Distribution in Market Instability," MPRA Paper 80039, University Library of Munich, Germany.
- Mehdi Lallouache & Frédéric Abergel, 2014. "Tick size reduction and price clustering in a FX order book," Post-Print hal-01006414, HAL.
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