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References listed on IDEAS
- Trapani, Lorenzo, 2016. "Testing for (in)finite moments," Journal of Econometrics, Elsevier, vol. 191(1), pages 57-68.
- Igor Fedotenkov, 2013. "A bootstrap method to test for the existence of finite moments," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(2), pages 315-322, June.
- repec:bla:jfinan:v:72:y:2017:i:3:p:967-998 is not listed on IDEAS
- Beddington, John & Furse, Clara & Bond, Philip & Cliff, Dave & Goodhart, Charles & Houstoun, Kevin & Linton, Oliver & Zigrand, Jean-Pierre, 2012. "Foresight: the future of computer trading in financial markets: final project report," LSE Research Online Documents on Economics 62157, London School of Economics and Political Science, LSE Library.
More about this item
KeywordsUltra high frequency trading; risk management; fi�nite moments; superkurtosis.;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C54 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Quantitative Policy Modeling
- F30 - International Economics - - International Finance - - - General
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2019-06-24 (Risk Management)
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