作者提出了micro price,作为对资产价格的公平估计,且micro price的价格过程是一个鞅过程。Micro price是对于mid price的修正,使之在引入imbalance和bid-ask spread信息后更准确的估计资产的真实价格。 Mid Price和Weighted Mid Price的缺点 Mid Price Mid Price的变化是高度自相关的,且变化频度远低于Order Imbalance的...
Sasha StoikovTaylor & Francis JournalsQuantitative FinanceStoikov, S., 2017, The micro-price: A high frequency estimator of future prices, Working Paper.Stoikov, Sasha. 2017. The Micro-Price: A High Frequency Estimator of Future Prices. SSRN preprint....
The micro-price: a high-frequency estimator of future prices The micro-price estimated using high-frequency data is empirically a better predictor of short-term prices than the mid-price or the weighted mid-price S Stoikov - 《Quantitative Finance》 被引量: 0发表: 2018年 Nonparametric ...
Annual Tax/Rent Increase Estimator Enter your Property Value:(House, Commercial, Homestead, Rental Property, Etc) Project Connect Tax/Rent Increase: This calculator shows the property tax increase needed to fully fund Project Connect Increase based on traditional bond funding that taxpayers are ...
Other attributes studied in the literature include distance from home (e.g., Hooley and Lynch 1981; Moogan et al. 1999; Price et al. 2003; Drewes and Michael 2006)Footnote 7 and the location of the university within a country (e.g., Wright and Kriewall 1980; Welki and Navratil 1987...
Thus the results remain robust to changes in specification and the use of a non-parametric estimator: medium tsunami intensity significantly reduces household welfare by 6% in all cases while heavy intensity reduces household welfare significantly by 33–37.5%. Are these results externally valid i.e...
At its heart, a travel trailer is a home on wheels. Wally’s 1958 Airstream International brought to life the dream of traveling without the requirement of cords and hoses tying you down to your camping spot. But in the decades since, the upper limit of how long one ...
Fast iterative-interpolated DFT phasor estimator considering out-of-band interference IEEE Trans. Instrum. Meas., 71 (2022), 10.1109/TIM.2022.3203459 Google Scholar [114] X. Zhang, Y. Wang, X. Yuan, Y. Shen, Z. Lu, Z. Wang Adaptive dynamic surface control with disturbance observers for ba...
The main challenges of using LiDAR are the high price and large size. Also, the current LiDAR system has a rotation mechanism on the top of the carrier, which may have a problem in its life span. Some manufacturers try to use solid-state LiDAR to alleviate these problems. Apple unveils ...
In contrast to this, the fuzzy estimator technique is used to identify and classify the problematic nodes. The goal of the research in [127] is to investigate the energy efficiency and fault handling challenges faced by the traditional LEACH-based approach. It uses a random CH voting approach ...