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Long-range auto-correlations in limit order book markets: Inter-and cross-event analysis.

Martin MagrisJiyeong KimEsa RäsänenJuho Kanniainen
Published in: SSCI (2017)
Keyphrases
  • long range
  • long range correlations
  • short range
  • conditional random fields
  • information extraction
  • higher order
  • graphical models
  • active contours
  • event detection
  • fractional brownian motion