A Study of Persistence of Price Movement Using High Frequency Financial Data

Dragos Bozdog, Ionuţ Florescu, Khaldoun Khashanah, Jim Wang

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

3 Scopus citations
Original languageEnglish
Title of host publicationHandbook of Modeling High-Frequency Data in Finance
Pages27-46
Number of pages20
DOIs
StatePublished - 7 Nov 2011

Keywords

  • Favorable price movement
  • Price movement, frequency data
  • Rare events, time distribution

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