The Drift Burst Hypothesis
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More about this item
Keywordsflash crashes; drift bursts; volatility bursts; nonparametric statistics; reversals;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2016-10-09 (Econometrics)
- NEP-ETS-2016-10-09 (Econometric Time Series)
- NEP-MST-2016-10-09 (Market Microstructure)
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