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PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution
PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test
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PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test
hedge funds, hedge fund replication, Kalman filtering
adaptive lasso, attention, price impact, market microstructure
market microstructure, market closure theory, liquidity, Chinese futures market
PIN, informed trading, information asymmetry, market microstructure
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