Sander Schwenk-Nebbe

Aarhus University - Department of Economics and Business Economics

Fuglesangs Allé 4

Aarhus V, 8210

Denmark

  • Aarhus University - Department of Economics and Business Economics

SCHOLARLY PAPERS

2

DOWNLOADS

1,516

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (2)

Actions:
Email selected abstracts
1.

The Participant Timestamp: Get The Most Out Of TAQ Data

Downloads 1,045 (36,092)
Citation 1

The Participant Timestamp: Get The Most Out Of TAQ Data

Number of pages: 81 Posted: 15 Dec 2021 Last Revised: 08 Apr 2022
Sander Schwenk-Nebbe
Aarhus University - Department of Economics and Business Economics
Downloads 578 (78,509)
Citation 1

Abstract:

Loading...

U.S. equity market data, TAQ, marketable order execution identifier, NBBO, participant timestamp, SIP timestamp, dissemination latency, sequence errors, on- and off-exchange trade signing.

The Participant Timestamp: Get The Most Out Of TAQ Data

Number of pages: 81 Posted: 28 Jan 2021 Last Revised: 08 Apr 2022
Sander Schwenk-Nebbe
Aarhus University - Department of Economics and Business Economics
Downloads 467 (102,763)

Abstract:

Loading...

U.S. equity market data, TAQ, marketable order execution identifier, NBBO, participant timestamp, SIP timestamp, dissemination latency, sequence errors, on- and off-exchange trade signing.

2.

The Anatomy of Out-of-Sample Forecasting Accuracy

FRB Atlanta Working Paper No. 2022-16
Number of pages: 54 Posted: 16 Nov 2022
Daniel Borup, Philippe Goulet Coulombe, David Rapach, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Sander Schwenk-Nebbe
Aarhus University, CREATES, DFI, Université du Québec à Montréal - Département des Sciences Économiques, Research Department, Federal Reserve Bank of Atlanta, Aarhus UniversityAarhus University - CREATES and Aarhus University - Department of Economics and Business Economics
Downloads 471 (102,218)

Abstract:

Loading...

variable importance, out-of-sample performance, Shapley value, loss function, machine learning, inflation