Linear models for the impact of order flow on prices. II. The Mixture Transition Distribution model
Taranto, Damian Eduardo, Bormetti, Giacomo, Bouchaud, Jean-Philippe, Lillo, Fabrizio, Tóth, BenceLanguage:
english
Journal:
Quantitative Finance
DOI:
10.1080/14697688.2017.1397283
Date:
March, 2018
File:
PDF, 1006 KB
english, 2018