Empirical scaling relations of market event rates in foreign currency market
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DOI: 10.1016/j.physa.2018.06.002
Abstract: Abstract The mechanism of order book dynamic is studied by using ultra high frequency data in terms of three market events: injection, cancellation, and transaction. We analyzed the empirical decision-making process of market participants focusing… read more here.
Keywords: scaling relations; injection cancellation; market; event rates ... See more keywords