遇见数据集

High Frequency Market Microstructure Noise Estimates and Liquidity Measures

收藏
NBER2008-02-01 更新2025-01-04 收录
数据链接:
官方服务:

资源简介:

Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise

创建时间:
2008-02-01
二维码
社区交流群
二维码
科研交流群
商业服务