Roel C. A. Oomen

Available identifiers

zbMath Open oomen.roel-c-aMaRDI QIDQ295395

List of research outcomes

Publication	Date of Publication	Type
AI-driven liquidity provision in OTC financial markets	2023-06-20	Paper
The drift burst hypothesis	2022-03-16	Paper
Price signatures	2019-09-26	Paper
Last look	2018-11-19	Paper
Execution in an aggregator	2018-11-19	Paper
Covariance measurement in the presence of non-synchronous trading and market microstructure noise	2016-08-10	Paper
Realised quantile-based estimation of the integrated variance	2016-08-04	Paper
Testing for jumps when asset prices are observed with noise -- a ``swap variance approach	2016-06-13	Paper
Zero-intelligence realized variance estimation.	2011-04-06	Paper
High-dimensional covariance forecasting for short intra-day horizons	2010-12-20	Paper
Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?	2008-11-19	Paper

Research outcomes over time

This page was built for person: Roel C. A. Oomen