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Which Daily Price is Less Noisy?

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2014Machine-learning classification techniques for the analysis and prediction of high-frequency stock direction

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25 cited

2010The impacts of large trades by trader types on intraday futures prices: Evidence from the Taiwan Futures Exchange17 cited

2015Broker ID transparency and price impact of trades: evidence from the Korean Exchange15 cited

2011The performance of popular stochastic volatility option pricing models during the subprime crisis15 cited

2021Asymmetric financial reporting quality and firm size: conditional evidence from an emerging market12 cited