We propose a new estimator for nonparametric regression based on local likelihood estimation using an estimated error score function obtained from the residuals of a preliminary nonparametric regression. We show that our estimator is asymptotically equivalent to the infeasible local maximum...

This paper provides an in-depth analysis of the evolution of liquidity during the flash episode in sterling during the early hours of 7 October 2016. It examines a number of estimates both of the cost of trading, and the price impact of executed transactions. These include a variant of the...

High frequency trading (HFT) has grown substantially in recent years, due to fast-paced technological developments and their rapid uptake, particularly in equity markets. This paper investigates how HFT could evolve and, by developing a robust understanding of its effects, to identify potential...

High-frequency trading (HFT) has grown substantially in recent years due to fast-paced technological developments and their rapid uptake, particularly in equity markets. This review investigates how HFT could evolve and, by developing a robust understanding of its effects, identifies potential...

This paper studies nonparametric estimation of the infinite order regression $E(Y_t^k|\mathcal{F}_{t-1}), k\in\mathbb{Z}$ with stationary and weakly dependent data. We propose a Nadaraya-Watson type estimator that operates with an infinite number of conditioning variables. We propose a bandwidth...