A Descriptive Study of High-Frequency Trade and Quote Option Data

Author(s)
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Stephen Taylor, Viktor Todorov
Organisation(s)
Department of Statistics and Operations Research, Research Network Data Science
External organisation(s)
University of Manchester, Lancaster University, Northwestern University
Journal
Journal of Financial Econometrics
ISSN
1479-8409
DOI
https://doi.org/10.1093/jjfinec/nbaa036
Publication date
2020
Peer reviewed
Yes
Austrian Fields of Science 2012
502009 Corporate finance, 502025 Econometrics
Portal url
https://ucris.univie.ac.at/portal/en/publications/a-descriptive-study-of-highfrequency-trade-and-quote-option-data(ddc57001-11ed-4f33-8140-bcd1ca45a44b).html