From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (Q6158406): Difference between revisions

Latest revision as of 09:41, 1 August 2024

scientific article; zbMATH DE number 7698387

Language	Label	Description	Also known as
English	From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution	scientific article; zbMATH DE number 7698387

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instance of

scholarly article

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title

From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution (English)

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20 June 2023

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full work available at URL

https://arxiv.org/abs/2202.12137

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zbMATH Keywords

electronic financial markets

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limit order book (LOB)

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volatility estimation

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MaRDI profile type

MaRDI publication profile

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cites work

Q5495335

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A Hausman test for the presence of market microstructure noise in high frequency data

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Jump-robust volatility estimation using nearest neighbor truncation

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

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A general version of the fundamental theorem of asset pricing

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The price impact of order book events: market orders, limit orders and cancellations

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Spot volatility estimation for high-frequency data

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Optimal kernel estimation of spot volatility of stochastic differential equations

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Zero-intelligence realized variance estimation.

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Q2787919

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The Model Confidence Set

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Simulating and Analyzing Order Book Data: The Queue-Reactive Model

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Microstructure noise in the continuous case: the pre-averaging approach

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NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH

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Estimating quadratic variation when quoted prices change by a constant increment

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Volatility of volatility: estimation and tests based on noisy high frequency data with jumps

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A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise

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The Long Memory of the Efficient Market

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Fourier series method for measurement of multivariate volatilities

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A Fourier transform method for nonparametric estimation of multivariate volatility

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Spot volatility estimation using delta sequences

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Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise

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Real-time scheme for the volatility estimation in the presence of microstructure noise

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Volatility forecast comparison using imperfect volatility proxies

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Statistical theory of the continuous double auction

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Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach

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A Tale of Two Time Scales

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Estimating spot volatility with high-frequency financial data

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Identifiers

zbMATH Open document ID

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10.1080/14697688.2023.2175325

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6158406

@@ Property / cites work @@
+Q5495335
@@ Property / cites work: Q5495335 / rank @@
+Normal rank
@@ Property / cites work @@
+A Hausman test for the presence of market microstructure noise in high frequency data
+Normal rank
@@ Property / cites work @@
+Jump-robust volatility estimation using nearest neighbor truncation
+Normal rank
@@ Property / cites work @@
+Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The price impact of order book events: market orders, limit orders and cancellations
+Normal rank
@@ Property / cites work @@
+Spot volatility estimation for high-frequency data
+Normal rank
@@ Property / cites work @@
+Optimal kernel estimation of spot volatility of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Zero-intelligence realized variance estimation.
@@ Property / cites work: Zero-intelligence realized variance estimation. / rank @@
+Normal rank
@@ Property / cites work @@
+Q2787919
@@ Property / cites work: Q2787919 / rank @@
+Normal rank
@@ Property / cites work @@
+The Model Confidence Set
@@ Property / cites work: The Model Confidence Set / rank @@
+Normal rank
@@ Property / cites work @@
+Simulating and Analyzing Order Book Data: The Queue-Reactive Model
+Normal rank
@@ Property / cites work @@
+Microstructure noise in the continuous case: the pre-averaging approach
+Normal rank
@@ Property / cites work @@
+NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
+Normal rank
@@ Property / cites work @@
+Estimating quadratic variation when quoted prices change by a constant increment
+Normal rank
@@ Property / cites work @@
+Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
+Normal rank
@@ Property / cites work @@
+A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
+Normal rank
@@ Property / cites work @@
+The Long Memory of the Efficient Market
@@ Property / cites work: The Long Memory of the Efficient Market / rank @@
+Normal rank
@@ Property / cites work @@
+Fourier series method for measurement of multivariate volatilities
+Normal rank
@@ Property / cites work @@
+A Fourier transform method for nonparametric estimation of multivariate volatility
+Normal rank
@@ Property / cites work @@
+Spot volatility estimation using delta sequences
@@ Property / cites work: Spot volatility estimation using delta sequences / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
+Normal rank
@@ Property / cites work @@
+Real-time scheme for the volatility estimation in the presence of microstructure noise
+Normal rank
@@ Property / cites work @@
+Volatility forecast comparison using imperfect volatility proxies
+Normal rank
@@ Property / cites work @@
+Statistical theory of the continuous double auction
+Normal rank
@@ Property / cites work @@
+Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
+Normal rank
@@ Property / cites work @@
+A Tale of Two Time Scales
@@ Property / cites work: A Tale of Two Time Scales / rank @@
+Normal rank
@@ Property / cites work @@
+Estimating spot volatility with high-frequency financial data
+Normal rank