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Replication Package for ``Real-Time Detection of Local No-Arbitrage Violations''

NIAID Data Ecosystem2026-05-02 收录

金融套利检测

高频交易分析

数据链接：

https://zenodo.org/record/14426392 数据链接链接失效反馈

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资源简介：

Replication Package for ``Real-Time Detection of Local No-Arbitrage Violations''

应用场景：

创建时间：

2024-12-12

市场微观结构

高频交易分析

This paper examines intra-day patterns of the exchange rate behavior, using the "firm" bid-ask quotes and transactions of USD-JPY and Euro-USD recorded in the electronic broking system of the spot for

NBER2006-08-01 更新140

Replication Data for: Order Book Queue Hawkes-Markovian Modeling

订单簿建模

高频交易分析

Replication Data for: Order Book Queue Hawkes-Markovian Modeling. Manuscript available at https://arxiv.org/abs/2107.09629.

NIAID Data Ecosystem60

BankNifty Spot Data

高频交易分析

银行股指数

BankNifty Spot Data, 1 min timeframe

NIAID Data Ecosystem40

Quantifying the High-Frequency Trading "Arms Race"

高频交易分析

延迟套利

We use stock exchange message data to quantify the negative aspect of high-frequency trading, known as latency arbitrage. The key difference between message data and widely-familiar limit order book d

NBER2021-07-01 更新120

Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange

风险预测

高频交易分析

We provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-va

NBER1998-12-01 更新50

Replication Package for ``Real-Time Detection of Local No-Arbitrage Violations''

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