Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimating the efficient price from the order flow: a Brownian Cox
  process approach   At the ultra high frequency level, the notion of price of an asset is very
ambiguous. Indeed, many different prices can be defined (last traded price,
best bid price, mid price,...). Thus, in practice, market participants face the
problem of choosing a price when implementing their strategies. In this work,
we propose a notion of efficient price which seems relevant in practice.
Furthermore, we provide a statistical methodology enabling to estimate this
price form the order flow.

37
The categories of this paper are: supr-con
16
The categories of this paper are: stat
7
The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
21
The categories of this paper are: adap-org
34
The categories of this paper are: chem-ph
25
The categories of this paper are: patt-sol
8
The categories of this paper are: hep-ex
26
The categories of this paper are: bayes-an
23
The categories of this paper are: solv-int
9
The categories of this paper are: nlin
12
The categories of this paper are: nucl-th
29
The categories of this paper are: funct-an
35
The categories of this paper are: mtrl-th
15
The categories of this paper are: nucl-ex
36
The categories of this paper are: cmp-lg