75 Hamilton Street
New Brunswick, NJ 08901
United States
Rutgers University, Department of Economics
market quality, breakdown, breakups, correlation, high frequency trading
high frequency trading, Federal Reserve, open market operations, private information
limit order book, Chinese stock market, microstructure, VAR model
Asymmetric exponential power distribution, Distribution of skewness, Left and right kurtosis measures, Markov chain Monte Carlo algorithms, Probability integral transformation