Price Discovery in Tick Time
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More about this item
Keywordsmicrostructure; nasdaq; price discovery; tick time models; ultra-high frequency data;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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