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Quantitative Finance Volume 8, 2008 - Issue 4
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Research Papers

Analysing liquidity and absorption limits of electronic markets with volume durations

Wing Lon Ng Institute of Econometrics and Economic Statistics, University of Muenster, Am Stadtgraben 9 48143, Münster, GermanyCorrespondence[email protected]
Pages 353-361 | Received 03 Apr 2006, Accepted 29 Jun 2007, Published online: 12 Jun 2008

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Ata Türkoğlu. (2016) Normally distributed high-frequency returns: a subordination approach. Quantitative Finance 16:3, pages 389-409.
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Joey Wenling Yang & Jerry Parwada. (2012) Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange. Quantitative Finance 12:5, pages 791-804.
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Articles from other publishers (3)

Teng-Tsai TU & Chih-Wei LIAO. (2020) Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model. The Journal of Asian Finance, Economics and Business 7:4, pages 59-70.
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Alex Petkevich & Andrew Prevost. (2017) Managerial ability, information quality, and the design and pricing of corporate debt. Review of Quantitative Finance and Accounting 51:4, pages 1033-1069.
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Jian Jiang & Wing Lon Ng. (2009) Revealing Intraday Market Efficiency -- Estimating Diurnal Price Densities in Limit Order Books. Revealing Intraday Market Efficiency -- Estimating Diurnal Price Densities in Limit Order Books.

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