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Determining the integrated volatility via limit order books with multiple records Journal article
Quantitative Finance, 2017,Volume: 17,Issue: 11,Page: 1697-1714
Authors:  YIQI LIU;  QIANG LIU;  ZHI LIU;  DENG DING
Favorite  |  View/Download:12/0  |  Submit date:2019/05/22
High-frequency Data  Integrated Volatility  Limit Order Books  Microstructure Noise  Multiple Records