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Quantitative Finance Volume 15, 2015 - Issue 2: Themed Issue on Trading
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Research Papers

Ensemble properties of high-frequency data and intraday trading rules

F. BaldovinDipartimento di Fisica and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131Padova, Italy.Correspondence[email protected]
,
F. CamanaDipartimento di Fisica and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131Padova, Italy.
,
M. CaporinDipartimento di Scienze Economiche ed Aziendali, Università di Padova, Via del Santo, I-35123Padova, Italy.
,
M. CaraglioDipartimento di Fisica and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131Padova, Italy.
&
A.L. StellaDipartimento di Fisica and Sezione INFN, Università di Padova, Via Marzolo 8, I-35131Padova, Italy.
Pages 231-245 | Received 26 Jul 2013, Accepted 14 Nov 2013, Published online: 21 Mar 2014

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Read on this site (1)

D. Hendricks, T. Gebbie & D. Wilcox. (2016) Detecting intraday financial market states using temporal clustering. Quantitative Finance 16:11, pages 1657-1678.
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Articles from other publishers (2)

Francesco Di Trapani, Thomas Franosch & Michele Caraglio. (2023) Active Brownian particles in a circular disk with an absorbing boundary. Physical Review E 107:6.
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Michele Caraglio, Fulvio Baldovin & Attilio L. Stella. (2021) How Fast Does the Clock of Finance Run?—A Time-Definition Enforcing Stationarity and Quantifying Overnight Duration. Journal of Risk and Financial Management 14:8, pages 384.
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