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pro vyhledávání: '"Ranjan, R."'
Autor:
Ranjan R. Chakravarty, Sudhanshu Pani
Publikováno v:
Algorithmic Finance. 9:81-102
The pattern of dependence between liquidity, durations (orders and trades) and bid-ask spreads in a limit order market are examined in high resolution invoking copulas and graph theory. Using intraday data from a sample of NASDAQ 100 stocks and an ex
Publikováno v:
Algorithmic Finance; August 2022, Vol. 9 Issue: 3-4 p81-102, 22p