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Construction and interpretation of model-free implied volatility
Andersen, Torben; Bondarenko, Oleg - 2007
Persistent link: https://www.econbiz.de/10003556632
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The fine structure of equity-index option dynamics
Andersen, Torben; Bondarenko, Oleg; Todorov, Viktor; … - 2013
Persistent link: https://www.econbiz.de/10010226774
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Assessing measures of order flow toxicity via perfect trade classification
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226859
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Reflecting on the VPN dispute
Andersen, Torben; Bondarenko, Oleg - 2013
Persistent link: https://www.econbiz.de/10010226863
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VPIN and the flash crash
Andersen, Torben; Bondarenko, Oleg - 2011
Persistent link: https://www.econbiz.de/10009385068
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Coherent model-free implied volatility : a corridor fix for high-frequency VIX
Andersen, Torben; Bondarenko, Oleg; Gonzalez-Perez, Maria T. - 2011
Persistent link: https://www.econbiz.de/10009385071
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2020
Persistent link: https://www.econbiz.de/10012494219
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Invariance in buy-sell switching points
Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020
Persistent link: https://www.econbiz.de/10012494223
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Industrial organization, order Internalization, and invariance
Bondarenko, Oleg; Obižaeva, Anna; Wang, Yajun - 2020
Persistent link: https://www.econbiz.de/10012494238
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Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben; Bondarenko, Oleg; Kyle, Albert S.; … - 2016
Persistent link: https://www.econbiz.de/10011633490