Abstract
This working paper contains quantitative and qualitative analysis and preliminary modeling of the Russian equity market using the example of RusHydro stock (MICEX:HYDR). Four major classes of agents were identified, including large long-term traders, high-frequency traders, small high-frequency traders and small manual traders. Econometric models and conditional distributions were estimated in attempt to reproduce their behavior.
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© 2012 Springer-Verlag Berlin Heidelberg
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Efremova, T., Ivliev, S. (2012). Modeling of Russian Equity Market Microstructure (MICEX:HYDR Case). In: Sornette, D., Ivliev, S., Woodard, H. (eds) Market Risk and Financial Markets Modeling. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-27931-7_6
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DOI: https://doi.org/10.1007/978-3-642-27931-7_6
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Online ISBN: 978-3-642-27931-7
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