Gregor Chliamovitch

University of Geneva

Computer Science Department, University of Geneva

rte de Drize 7

Genève, CH - 1227

Switzerland

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Multi-Scale Representation of High Frequency Market Liquidity

Number of pages: 26 Posted: 12 Feb 2014
Anton Golub, Gregor Chliamovitch, Alexandre Dupuis and Bastien Chopard
Flov technologies, University of Geneva, Olsen Ltd. and University of Geneva
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Citation 7

Abstract:

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Liquidity, Information Theory, Multi-Scale, Foreign Exchange, High Frequency Trading