Jeremy H. Large

发表

Measuring the resiliency of an electronic limit order book

Jeremy H. Large, 2007 .

Estimating quadratic variation when quoted prices jump by a constant increment

Jeremy H. Large, 2005 .

Moving Average-Based Estimators of Integrated Variance

Jeremy H. Large, P. Hansen, A. Lunde, 2008 .

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment

Jeremy H. Large, 2007 .

Pro-Rata Matching and One-Tick Futures Markets

Jeremy H. Large, Jonathan Field, 2008 .

Markov Perfect Bayesian Equilibrium via Ergodicity

Jeremy H. Large, Thomas W.L. Norman, 2012 .

Moving Average-Based Estimators of Integrated Variance

Jeremy H. Large, P. Hansen, A. Lunde, 2006 .

Accounting for the Epps Efiect: Realized Covariation, Cointegration and Common Factors

Jeremy H. Large, 2007 .

Pro-Rata Matching in One-Tick Markets

Jeremy H. Large, J. Field, 2012 .

A Market-Clearing Role for Inefficiency on a Limit Order Book

Jeremy H. Large, 2007 .