The effects of strategic behaviour on properties of order flow
This thesis seeks a better understanding of the role that endogenous dynamics plays in financial markets. We investigate the intra-day dynamics of trading in stock markets by means of computer simulations and empirical analysis of high-frequency data. We show that the strategic behaviour of interact...
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University of Essex
2012
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.617086 |