MARIOTTI, Tommaso
MARIOTTI, Tommaso
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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
Titolo | Data di pubblicazione | Autori | Tipo | File |
---|---|---|---|---|
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution | 2023 | Mariotti, TommasoLillo, Fabrizio + | 1.1 Articolo in rivista | |
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 | 9.1 Tesi PhD |