Volatility estimation under one-sided errors with applications to limit
order books

v1v2v3v4 (latest)

Volatility estimation under one-sided errors with applications to limit order books

16 August 2014

ArXiv (abs)PDF HTML

Papers citing "Volatility estimation under one-sided errors with applications to limit order books"

8 / 8 papers shown

Title
Probabilistic models and statistics for electronic financial markets in the digital age Markus Bibinger 62 0 0 11 Jun 2024
Jump detection in high-frequency order prices M. Bibinger N. Hautsch Alexander Ristig 64 1 0 26 Feb 2024
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise M. Bibinger 83 2 0 05 Jan 2023
Time-varying first-order autoregressive processes with irregular innovations H. Gruber M. Jirak 54 0 0 23 Jan 2022
Deep Reinforcement Learning for Active High Frequency Trading Antonio Briola J. Turiel Riccardo Marcaccioli Alvaro Cauderan T. Aste AIFin AI4TS 89 36 0 18 Jan 2021
Volatility Decomposition and Estimation in Time-Changed Price Models R. Dahlhaus Sophon Tunyavetchakit 70 4 0 07 May 2016
On the asymptotic structure of Brownian motions with a small lead-lag effect Yuta Koike 83 4 0 14 Jan 2016
Efficient estimation of functionals in nonparametric boundary models M. Reiß Leonie Selk 161 11 0 16 Jul 2014