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Empirical Market Microstructure · Study

WorkEmpirical Market Microstructure

Anatoly B. Schmidt2011

Work2011

Empirical Market Microstructure

Anatoly B. Schmidt

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

Abstract

This chapter contains sections titled: Roll's Model The Glosten-Harris Model Structural Models Recent Empirical Findings

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Details

Year2011

Typeother

Published2011-07-25

Languageen

Citations125

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/9781118268094.ch6

openalex_workW1548335088

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