Microstructure analysis for Chinese stock market based on jump filtering and dynamic parameters estimation

LIU Zhidong, HUANG Yuting, LIU Wenyu

Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (6) : 1393-1419.

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Systems Engineering - Theory & Practice ›› 2017, Vol. 37 ›› Issue (6) : 1393-1419. DOI: 10.12011/1000-6788(2017)06-1393-27

Microstructure analysis for Chinese stock market based on jump filtering and dynamic parameters estimation

  • LIU Zhidong1, HUANG Yuting2, LIU Wenyu1
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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2017, 37(6): 1393-1419 https://doi.org/10.12011/1000-6788(2017)06-1393-27

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