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A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects

A Simple Microstructure Return Model Explaining Microstructure Noise and Epps Effects

AuthorD. Sornette, A. Saichev
JournalInternational Journal of Modern Physics C
Date1 Jan. 2014
CategoryAcademic Publications
Volumevol. 25, pp 1450012 – 1450048

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