Zobrazeno 1 - 10
of 241
pro vyhledávání: '"Lopez, José E."'
For a multidimensional It\^o semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator based on a Riemann sum approximation of the integrated functional and
Externí odkaz:
http://arxiv.org/abs/2407.09759
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted bid and ask spreads with random coefficients, we model the variability
Externí odkaz:
http://arxiv.org/abs/2405.11444
Many methods for estimating integrated volatility and related functionals of semimartingales in the presence of jumps require specification of tuning parameters for their use in practice. In much of the available theory, tuning parameters are assumed
Externí odkaz:
http://arxiv.org/abs/2311.00905
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than two decades. One of the most well-known and widely studied problems has been the estimation of the quadratic variation
Externí odkaz:
http://arxiv.org/abs/2209.10128
Publikováno v:
In Stochastic Processes and their Applications October 2024 176
Statistical inference for stochastic processes based on high-frequency observations has been an active research area for more than a decade. One of the most well-known and widely studied problems is that of estimation of the quadratic variation of th
Externí odkaz:
http://arxiv.org/abs/2202.00877
Publikováno v:
In International Journal of Electrical Power and Energy Systems July 2024 158
Autor:
Guzmán-López, José E., Pérez-Isidoro, Rosendo, Amado-Briseño, Miguel A., Lopez, Israel, Villareal-Chiu, Juan Francisco, Sánchez-Cervantes, Eduardo M., Vázquez-García, Rosa A., Espinosa-Roa, Arián
Publikováno v:
In Chemical Physics Impact June 2024 8
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental price and t
Externí odkaz:
http://arxiv.org/abs/2101.03086
We propose a new method for the estimation of a semiparametric tempered stable L\'{e}vy model. The estimation procedure combines iteratively an approximate semiparametric method of moment estimator, Truncated Realized Quadratic Variations (TRQV), and
Externí odkaz:
http://arxiv.org/abs/2101.00565