Yacine Ait-Sahalia; Jean Jacod

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YACINE AIT-SAHALIA; JEAN JACOD
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High-frequency financial econometrics

High-frequency financial econometrics

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the...
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