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Gdańsk University of Technology

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Analysis of latency between quotations and capital flow in capital markets.

The aim of this paper is to prove that the derivative of the log of capital flow understood as price times volume advances the derivative of log of the price. A certain concept of signal processing using linear filtering has been proposed to conduct the research.

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Additional information

Category
Aktywność konferencyjna
Type
publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
Language
angielski
Publication year
2013

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