The impact of transaction duration, volume and direction on...

Quantitative Finance 2011 / 03 Vol. 11; Iss. 3

The impact of transaction duration, volume and direction on price dynamics and volatility

Tay, Anthony S., Ting, Christopher, Kuen Tse, Yiu, Warachka, Mitch
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Volume:
11
Language:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697680903405742
Date:
March, 2011
File:
PDF, 618 KB
english, 2011
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