Dmitry Shakin

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Trade Intensity in the Russian Stock Market: Dynamics, Distribution and Determinants

Applied Financial Economics, Vol. 17, No. 2, pp. 87-104, 2007
Number of pages: 37 Posted: 09 Aug 2006
Dmitry Shakin and Stanislav Anatolyev
affiliation not provided to SSRN and New Economic School
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Abstract:

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High frequency data, Trading intensity, Intertrade durations, ACD model, ARMA-GARCH model, Market microstructure