Empirical Analysis

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

Chapter 4 in Lit and Dark Liquidity with Lost Time Data: Interlinked Trading Venues around the Global Financial Crisis, 2014, pp 28-50 from Palgrave Macmillan

Abstract: Abstract The empirical results with respect to liquidity, noise variance, jump activity, and pairwise correlation estimation are reported and discussed. The relationship of these variables with each other is illustrated graphically.

Keywords: Noise Variance; Global Financial Crisis; Calendar Time; Dark Liquidity; Realize Volatility (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_4

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DOI: 10.1057/9781137396853_4

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