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 bookFile in questo prodotto:
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From zero intelligence to queue reactive limit order book modeling for high frequency volatility estimation and optimal execution.pdf
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