From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution

Mariotti, Tommaso; Lillo, Fabrizio; Toscano, Giacomo

doi:10.1080/14697688.2023.2175325

Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book

From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution

Mariotti, Tommaso;Lillo, Fabrizio;Toscano, Giacomo

2023

Abstract

Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book

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Scheda completa

Scheda completa (DC)

	Anno di pubblicazione
	
				2023
			
	Settore Scientifico Disciplinare (validi fino a 24/06/2024)
	
				Settore MAT/06 - Probabilita' e Statistica Matematica
			
	Titolo Rivista
	
				QUANTITATIVE FINANCE
			
	DOI
	
				https://dx.doi.org/10.1080/14697688.2023.2175325
			
	Parole chiave
	
				Limit order book; market microstructure; volatility estimation; financial econometrics
			
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