Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and …High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in … present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the …
