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Intraday Transaction Analysis

Keyword:

Heterogeneous Autoregressive model, High-frequency Data, Intraday Volatility, Trading Volume, and Trading Frequency

Creator:

Candy, Ryan E., Coughlin, Isadora C., and Baker, Emily N.

Advisor:

Wang, Fangfang and Zou, Jian

Publisher:

Worcester Polytechnic Institute

Date Created:

2021-04-01

Resource Type:

Major Qualifying Project