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

Martin Magris Jiyeong Kim Esa Räsänen Juho 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