Anne Shen

Cornell Financial Engineering Manhattan

NY

United States

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The Microstructure of Cointegrated Assets

Number of pages: 17 Posted: 12 Apr 2021
Sasha Stoikov, Peter Decrem, Yikai Hua and Anne Shen
Cornell Financial Engineering Manhattan, Citibank, N.A. - Citi Fixed Income Currency & Commodities, Cornell Financial Engineering Manhattan and Cornell Financial Engineering Manhattan
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Abstract:

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microprice, cointegration, microstructure, order books, high frequency trading, algorithmic trading