15-082/III - Why do Pit-Hours outlive the Pit?

  • Authors
    Sait R. Ozturk, Erasmus University Rotterdam, the Netherlands; Michel van der Wel, Erasmus University Rotterdam, the Netherlands; Dick van Dijk, Erasmus University Rotterdam, the Netherlands
  • Publication date
    July 7, 2015
  • Keywords
    Afterhours Trading, Market microstructure, Kalman filter
  • JEL
    C32, G14
Download here