100+ Wavelet variance PowerPoint (PPT) Presentations, Wavelet variance PPTs

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High Frequency Quoting: Short-Term Volatility in Bids and Offers

High Frequency Quoting: Short-Term Volatility in Bids and Offers. Joel Hasbrouck Stern School, NYU. Disclaimers. I teach in an entry-level training program at a large financial firm that is generally thought to engage in high frequency trading.

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870 views • 75 slides

High-Frequency Quoting: Measurement, Detection and Interpretation

High-Frequency Quoting: Measurement, Detection and Interpretation. Joel Hasbrouck. Outline. Background Look at a data fragment Economic significance Statistical modeling Application to larger sample Open questions. Economics of high-frequency trading. Absolute speed

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708 views • 69 slides

Wavelet Estimation of a Local Long Memory Parameter

Wavelet Estimation of a Local Long Memory Parameter. B. Whitcher EURANDOM, The Netherlands whitcher@eurandom.tue.nl M. J. Jensen University of Missouri - Columbia. March 15, 2000 ASEG 2000, Perth, Western Australia. Outline. Motivation Locally Stationary Time Series

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189 views • 11 slides

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Wavelet variance - PowerPoint PPT Presentation

High Frequency Quoting: Short-Term Volatility in Bids and Offers

High-Frequency Quoting: Measurement, Detection and Interpretation

Wavelet Estimation of a Local Long Memory Parameter