Anton Golub, Gregor Chliamovitch, Alexandre Dupuis, Bastien Chopard. Multi-scale representation of high frequency market liquidity. Algorithmic Finance, 5(1-2):3-19, 2016. [doi]
@article{GolubCDC16,
title = {Multi-scale representation of high frequency market liquidity},
author = {Anton Golub and Gregor Chliamovitch and Alexandre Dupuis and Bastien Chopard},
year = {2016},
doi = {10.3233/AF-160054},
url = {http://dx.doi.org/10.3233/AF-160054},
researchr = {https://researchr.org/publication/GolubCDC16},
cites = {0},
citedby = {0},
journal = {Algorithmic Finance},
volume = {5},
number = {1-2},
pages = {3-19},
}