Autocorrelation of the trade process
This study investigates how duration-based trading intensity modifies the first-order autocorrelation and the transitory variance of the trade process. Because prices are conditional expected values, a structural model in which the trade duration represents the rate at which prices incorporate new i...
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| Format: | article |
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2010
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| Online Access: | http://hdl.handle.net/10725/4944 http://dx.doi.org/10.1016/j.qref.2010.03.007 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php http://www.sciencedirect.com/science/article/pii/S106297691000027X |
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