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- W2017505105 abstract "Abstract In this paper we investigate the efficiency of a class of transaction-generating algorithms, originally suggested in Bollerslev and Domowitz (1993). Our comparison utilizes real transaction data recorded over Reuters D2000-2 electronic broking system for 7 h in June 1993 and transaction data generated from FXFX quotations over an identical period. Results suggest that, at this high-frequency data sampling, the performance of these transaction-generating algorithms is poor, with the most likely explanation of this outcome due to the high-frequency characteristics of FXFX spreads and quotation intensity." @default.
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- W2017505105 title "Calibrating an algorithm for estimating transactions from FXFX exchange rate quotes" @default.
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- W2017505105 doi "https://doi.org/10.1016/s0261-5606(97)00013-2" @default.
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