Preliminary Analysis

Tommi A. Vuorenmaa
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Tommi A. Vuorenmaa: VALO Research and Trading

Chapter 2 in Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis, 2014, pp 6-22 from Palgrave Macmillan

Abstract: Abstract The data and filtering methods used in the empirical analysis are described, and a preliminary data analysis of autocorrelations and trading volumes is conducted to shed more light on the characteristics of liquidity.

Keywords: Ordinary Little Square; Trading Volume; Maximum Likeli; Merge Data; Dark Liquidity (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-137-39685-3_2

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DOI: 10.1057/9781137396853_2

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