Forecast in Capital Markets
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References listed on IDEAS
- Jean-Michel Courtault & Yuri Kabanov & Bernard Bru & Pierre Crépel & Isabelle Lebon & Arnaud Le Marchand, 2000.
"Louis Bachelier on the Centenary of "Théorie de la Spéculation","
Wiley Blackwell, vol. 10(3), pages 339-353.
- Jean-Michel Courtault & Youri Kabanov & Bernard Bru & Pierre Crepel & Isabelle Lebon & Arnaud Le Marchand, 2000. "Louis Bachelier On the centenary of Théorie de la Spéculation," Post-Print halshs-00447592, HAL.
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Keywordsabsorption of information; diffusion of information; transmission of information; information theory; ultra high frequency electronic trading; processing frequency; algorithmic trading; informed trading; noise trading; currencies exchange rate; vehicle currency; interest rate; retail aggregator; liquidity aggregator; interdealer trade orders flow direction; stop-loss order; bid - ask spreads; price discovery process; capital inflow; capital outflow; carry trade strategy; financial liquidity; foreign currencies exchange market micro structure; foreign currencies exchange rate dynamics; Wiener filtering theory; Stratanovich-Kalman-Bucy filtering algorithm; Stratanovich – Kalman – Bucy filter; particle filter; nonlinearities; Ledenyov law on limiting frequency for ultra high frequency electronic trading in foreign currencies exchange markets; econophysics; econometrics; global foreign exchange market; global capital market;
- G1 - Financial Economics - - General Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G19 - Financial Economics - - General Financial Markets - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-07-16 (All new papers)
- NEP-GER-2016-07-16 (German Papers)
- NEP-MST-2016-07-16 (Market Microstructure)
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