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Authors: Harris, Drew
Date: 2016
Language: eng
Resource Type: Thesis PhD
Identifier: http://hdl.handle.net/1959.14/1089620
Description: Theoretical thesis.
Full Text: Full Text
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/336462
Description: This study investigates the impact of scheduled and unscheduled information arrival on realized volatility and volume in the USD/AUD exchange rate. The authors find that trading outside of Australian ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/274234
Description: This study involves a detailed discussion on the estimation of intraday time-varying volume synchronised probability of informed trading (VPIN), a proxy for levels of informed trading and flow toxicit ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/18359
Description: The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intraday variation observed in the returns in foreign ... More
Reviewed: Reviewed
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