Browsing University of Waterloo by Subject "Frequency"
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Hierarchical Hidden Markov Model of High-Frequency Market Regimes using Trade Price and Limit Order Book Information (University of Waterloo, 2011-05-05)Over the last fifty years financial markets have seen an enormous expansion and development both in size and variety. An industry that was once small and secluded has transformed into an essential part of today’s economy. ...