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High frequency finance

Author

Listed:
  • Luc Bauwens
  • David Veredas
  • Winfried Pohlmeier

Abstract

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Suggested Citation

  • Luc Bauwens & David Veredas & Winfried Pohlmeier, 2005. "High frequency finance," ULB Institutional Repository 2013/136220, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:ulb:ulbeco:2013/136220
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    Cited by:

    1. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
    2. Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013. "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE 66, Paderborn University, CIE Center for International Economics.
    3. Diaa Noureldin & Neil Shephard & Kevin Sheppard, 2012. "Multivariate high‐frequency‐based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 907-933, September.
    4. Antonio Cosma & Fausto Galli, 2006. "A Nonparametric ACD Model," LSF Research Working Paper Series 06-10, Luxembourg School of Finance, University of Luxembourg.
    5. Ishihara, Tsunehiro & Omori, Yasuhiro & Asai, Manabu, 2016. "Matrix exponential stochastic volatility with cross leverage," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 331-350.
    6. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Working Papers hal-00603385, HAL.
    7. Fabien Guilbaud & Huyen Pham, 2011. "Optimal High Frequency Trading with limit and market orders," Papers 1106.5040, arXiv.org.

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