A String Model of Liquidity in Financial Markets,
Sergey Lototsky, Henry Schellhorn and Ran Zhao,
from arXiv.org
(2018)
How Rigged Are Stock Markets?: Evidence From Microsecond Timestamps,
Robert P. Bartlett, III and Justin McCrary,
from National Bureau of Economic Research, Inc
(2016)
Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data,
Luis Alberiko, Olaoluwa Yaya and Olarenwaju I. Shittu,
from Navarra Center for International Development, University of Navarra
(2015)
Keywords: Bull and bear periods; fractional integration; high frequency; stock returns; volatilty