From Zero-Intelligence to Queue-Reactive : Limit Order Book modeling for high-frequency volatility estimation and optimal execution
Year of publication: |
[2022]
|
---|---|
Authors: | Mariotti, Tommaso ; Lillo, Fabrizio ; Toscano, Giacomo |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Schätzung | Estimation |
Extent: | 1 Online-Ressource (36 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 24, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4042874 [DOI] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; C80 - Data Collection and Data Estimation Methodology; Computer Programs. General |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric, (2013)
-
Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto, (2010)
-
Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel
Freihube, Thorsten, (2004)
- More ...
-
Mariotti, Tommaso, (2023)
-
Mancino, Maria Elvira, (2022)
-
Is the Variance Swap Rate Affine in the Spot Variance? Evidence From S&P500 Data
Mancino, Maria Elvira, (2020)
- More ...