Low-latency liquidity inefficiency strategies

Oesch, C; Maringer, D

Oesch, C (reprint author), Univ Basel, Business & Econ Fac WWZ, Peter Merian Weg 6, CH-4002 Basel, Switzerland.

QUANTITATIVE FINANCE, 2017; 17 (5): 717

Abstract

The vast amount of high-frequency data heralds the use of new methods in financial data analysis and quantitative trading. This study delivers a proof......

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