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An improved algorithm for cleaning ultrahigh frequency data

Lookup NU author(s): Dr Thanos Verousis

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Author(s): Verousis T, ap Gwilym O

Publication type: Article

Publication status: Published

Journal: Journal of Derivatives and Hedge Funds

Year: 2010

Volume: 15

Issue: 4

Pages: 323-340

Print publication date: 01/02/2010

ISSN (print): 1753-9641

ISSN (electronic): 1753-965X

Publisher: Palgrave Macmillan Ltd.

URL: http://dx.doi.org/10.1057/jdhf.2009.16

DOI: 10.1057/jdhf.2009.16

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