MARIOTTI, Tommaso
MARIOTTI, Tommaso
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Asymptotic Normality and Finite-Sample Robustness of the Fourier Spot Volatility Estimator in the Presence of Microstructure Noise
2024 Mancino, Maria Elvira; Mariotti, Tommaso; Toscano, Giacomo
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
2023 Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo
Spot volatility and covariance estimation on high frequency data using the Fourier methodology: microstructure noise, Limit Order Book and positive semi-definiteness
2024 Mariotti, Tommaso