Price signatures

Oomen, R

Oomen, R (reprint author), Deutsch Bank AG, 1 Great Winchester St, London EC2N 2DB, England.; Oomen, R (reprint author), London Sch Econ, Dept Stat, Houghton St 1, London WC2A 2AE, England.

QUANTITATIVE FINANCE, 2019; 19 (5): 733

Abstract

Price signatures are statistical measurements that aim to detect systematic patterns in price dynamics localised around the point of trade execution. ......

Full Text Link