Statistical identification with hidden Markov models of large order splitting strategies in an equity market
Download full text from publisher
References listed on IDEAS
- Stuart Barber, 2008. "Book Review," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(12), pages 1427-1428.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2012.
"Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange,"
Taylor & Francis Journals, vol. 12(4), pages 517-530, November.
- Angelo Carollo & Gabriella Vaglica & Fabrizio Lillo & Rosario N. Mantegna, 2011. "Trading activity and price impact in parallel markets: SETS vs. off-book market at the London Stock Exchange," Papers 1102.0687, arXiv.org.
- Ren, Fei & Zhong, Li-Xin, 2012. "The price impact asymmetry of institutional trading in the Chinese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(8), pages 2667-2677.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:1003.2981. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.