Price Discovery and Liquidity in the High Frequency World
This dissertation contains three papers investigating issues concerning price discovery and liquidity in the world of intraday trading across financial markets. We pay particular attention to intraday variations in market dynamics, usually employing a Kalman filtering approach combined with Maximum Likelihood methods as a tool to model them.
|D.J.C. van Dijk (Dick) , M. van der Wel (Michel)|
|Erasmus University Rotterdam|
|Tinbergen Instituut Research Series|
|Organisation||Department of Econometrics|
Ozturk, S.R. (2016, September 16). Price Discovery and Liquidity in the High Frequency World (No. 665). Tinbergen Instituut Research Series. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/93251