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;
2023

Abstract

Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book
2023
Settore MAT/06 - Probabilita' e Statistica Matematica
Limit order book; market microstructure; volatility estimation; financial econometrics
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11384/128226
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