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New evidence on market response to public announcements in the presence of microstructure noise.
Siyu Bian
Teresa Serra
Philip Garcia
Scott Irwin
Published in:
Eur. J. Oper. Res. (2022)
Keyphrases
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stock price
stock market
noisy data
noise reduction
empirical evidence
noise level
missing data
signal to noise ratio
neural network
evidential reasoning
random noise
noise model
gaussian noise
median filter
historical data
non stationary
long term
arbitrary shape
multiscale
decision making
data sets
noise sensitivity