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

Christian Yann Robert, Sylvain Delattre and Mathieu Rosenbaum ()
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Christian Yann Robert: LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon
Sylvain Delattre: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique
Mathieu Rosenbaum: LPMA - Laboratoire de Probabilités et Modèles Aléatoires - UPMC - Université Pierre et Marie Curie - Paris 6 - UPD7 - Université Paris Diderot - Paris 7 - CNRS - Centre National de la Recherche Scientifique

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Date: 2013-07
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Published in Stochastic Processes and their Applications, 2013, 123 (7), pp.2603-2619

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-02006747

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