搜索结果: 1-1 共查到“应用经济学 microstructure noise”相关记录1条 . 查询时间(0.078 秒)
Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...