Quote volatility is important in determining the cost of demand in a high frequency (HF) order market. This paper proposes a new model to measure quote volatility based on the point process and price-change duration. Specifically, we built a change-point
The company was founded in 2003 and is headquartered in San Jose, California.More... Sector Financials Industry Regional Banks Employees 148 Founded 2003 Address 1732 North 1st Street 6th Floor San Jose, CA, 95112 United States Phone Number (408) 200-7390 Website www.avidbank.com...