Multi-scale representation of high frequency market liquidity
- Golub, Anton Olsen Ltd, Eierbrechtstrasse, Zürich, Switzerland
- Chliamovitch, Gregor Computer Science Department, University of Geneva, rte de Drize, Carouge, Switzerland
- Dupuis, Alexandre Computer Science Department, University of Geneva, rte de Drize, Carouge, Switzerland
- Chopard, Bastien Computer Science Department, University of Geneva, rte de Drize, Carouge, Switzerland
Published in:
- Algorithmic Finance. - IOS Press. - 2016, vol. 5, no. 1-2, p. 3-19
- Language
-
- English
- Open access status
- bronze
- Identifiers
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- DOI 10.3233/af-160054
- ISSN 2158-5571
- Persistent URL
- https://sonar.ch/global/documents/144844
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