I apologise for the perceived lack of humility.
With respect to your journal references, I prefer to focus on ITCH feeds and the practical applications of, among others;
1. David Easley, Marcos M. López de Prado, Maureen O'Hara (2012) Flow Toxicity and Liquidity in a High-frequency World
2. Barndorff-Nielsen and Shephard (2003) Power and Bipower Variation with Stochastic Volatility and Jumps
I apologise for the perceived lack of humility.With respect to...
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