Timeline for Control for bid/ask bounce in high-frequency trade data?
Current License: CC BY-SA 3.0
10 events
| when toggle format | what | by | license | comment | |
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| Oct 25, 2016 at 17:55 | comment | added | user189035 | Thanks! (I had already upvoted your answer but thanks for adding this material) | |
| Oct 25, 2016 at 17:40 | comment | added | Richard Herron | @user189035 I added the titles when I updated yesterday. And I think that I have more survivable links, too. | |
| Oct 24, 2016 at 14:48 | comment | added | user189035 | thanks for having taken the time. Do you think you could recall the title of ' 2002 Engle and Russell' paper? This is the reference I think I would be more interested: the Andersen et al doesn't mention the Lee and Ready algorithm which is the part of your answer I am most interested in;) | |
| Oct 24, 2016 at 14:44 | comment | added | Richard Herron | @user189035 -- Yes, I haven't looked at this in a long time, but it looks like section 3 of the Andersen et al paper talks about microstructure noise. Five and half years later there are probably better references, though. | |
| Oct 24, 2016 at 14:43 | history | edited | Richard Herron | CC BY-SA 3.0 |
updated links and added titles
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| Oct 24, 2016 at 13:58 | comment | added | user189035 | I assume the next to last link is to 'Roughing it Up: Including Jump Components in the Measurement, Modeling and Forecasting of Return Volatility' ungated copy | |
| Oct 24, 2016 at 12:29 | comment | added | user189035 | can you please provide the title of the papers you cite? Most of the links in this answer are dead;( | |
| S Aug 28, 2013 at 10:08 | history | suggested | Ilya | CC BY-SA 3.0 |
Corrected typo: "to account" written twice in second paragraph.
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| Aug 28, 2013 at 7:59 | review | Suggested edits | |||
| S Aug 28, 2013 at 10:08 | |||||
| Jun 23, 2011 at 15:33 | history | answered | Richard Herron | CC BY-SA 3.0 |