Browsing Discussion papers (FOR) by Author "Moberg, Jan-Magnus"
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Structural breaks in point processes: with an application to reporting delays for trades on the New York stock exchange
Andersson, Jonas; Moberg, Jan-Magnus (Discussion paper, Working paper, 2007)In this paper some methods to determine the reporting delays for trades on the New York stock exchange are proposed and compared. The most successful method is based on a simple model of the quote revision process and a ...