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

Jarosław Garus; Piotr Dudojć

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

Abstract

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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Keywords

SIGNAL PROCESSING

Details

Category:: Conference activity
Type:: publikacja w wydawnictwie zbiorowym recenzowanym (także w materiałach konferencyjnych)
Title of issue:: MATERIAŁY KONFERENCYJNE ICT YOUNG 2013 strony 41 - 44
Language:: English
Publication year:: 2013
Bibliographic description:: Garus J., Dudojć P.: Analysis of latency between quotations and capital flow in capital markets.// MATERIAŁY KONFERENCYJNE ICT YOUNG 2013/ ed. P. Skorowski, M. Zabolski Gdańsk: , 2013, s.41-44
Verified by:: Gdańsk University of Technology