Multi-scale Representation of High Frequency Market Liquidity
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- Vladimir Petrov & Anton Golub & Richard Olsen, 2019. "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time," JRFM, MDPI, vol. 12(2), pages 1-31, April.
- Monira Essa Aloud, 2016. "Time Series Analysis Indicators under Directional Changes: The Case of Saudi Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 6(1), pages 55-64.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-MST-2014-02-15 (Market Microstructure)
- NEP-SOG-2014-02-15 (Sociology of Economics)
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