Nonlinearities in stochastic clocks: trades and volume as subordinators of electronic markets
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DOI: 10.1080/14697680903555314
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Cited by:
- William H. Press, 2023. "NYSE Price Correlations Are Abitrageable Over Hours and Predictable Over Years," Papers 2305.08241, arXiv.org.
- Ata Türkoğlu, 2016. "Normally distributed high-frequency returns: a subordination approach," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 389-409, March.
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Keywords
High frequency; Stochastic time changes; Subordinators; Transaction frequency; Trading volume;All these keywords.
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