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, Toth, BenceYear:
2016
Language:
english
Journal:
SSRN Electronic Journal
DOI:
10.2139/ssrn.2770363
File:
PDF, 1.20 MB
english, 2016