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Keywords: High-frequency data
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (5): 773–794.
Published: 06 October 2023
... 2023 01 09 2023 13 09 2023 © Emerald Publishing Limited 2023 Emerald Publishing Limited Licensed re-use rights only High-frequency data Jumps Foreign exchange markets Senior official speeches What influence do individual speakers have on the jumps in EUR/USD returns...
Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2014) 31 (1): 46–71.
Published: 25 February 2014
... insight into the interactions of market participants. Such valuable information cannot be fully recovered from the traditional transaction data-based approaches. Liquidity Limit order book Algorithmic trading Market impact Trade scheduling High-frequency data The structure of this paper...
