Statistical identification with hidden Markov models of large order splitting strategies in an equity market
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- Stuart Barber, 2008. "Book Review," Journal of Applied Statistics, Taylor & Francis Journals, vol. 35(12), pages 1427-1428.
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- 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.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-03-28 (All new papers)
- NEP-FMK-2010-03-28 (Financial Markets)
- NEP-MST-2010-03-28 (Market Microstructure)
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