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A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE

A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE

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VOEV, Valeri, 2006. A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE

@techreport{Voev2006Trade-12252, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={A Trade-by-Trade Surprise Measure and Its Relation to Observed Spreads on the NYSE}, year={2006}, number={2006/03}, author={Voev, Valeri} }

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