Estimating the efficient price from the order flow: A Brownian Cox process approach

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https://hal.archives-ouvertes.fr/hal-02006747
Contributor : Christian Robert <>
Submitted on : Monday, February 4, 2019 - 6:05:57 PM
Last modification on : Saturday, February 16, 2019 - 1:14:29 AM

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  • HAL Id : hal-02006747, version 1

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Christian Yann Robert, Sylvain Delattre, Mathieu Rosenbaum. Estimating the efficient price from the order flow: A Brownian Cox process approach. Stochastic Processes and their Applications, Elsevier, 2013, 123 (7), pp.2603-2619. ⟨hal-02006747⟩

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