Resiliency: Cross-venue dynamics with Hawkes processes
Year of publication: |
2020
|
---|---|
Authors: | Pelizzon, Loriana ; Sagade, Satchit ; Vozian, Katia |
Publisher: |
Frankfurt a. M. : Leibniz Institute for Financial Research SAFE |
Subject: | liquidity | resiliency | fragmentation | competition | high-frequency data | Hawkes processes |
Series: | SAFE Working Paper ; 291 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3711976 [DOI] 1736485083 [GVK] hdl:10419/225288 [Handle] RePEc:zbw:safewp:291 [RePEc] |
Classification: | G10 - General Financial Markets. General ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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