Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Milbradt, Cassandra"'
Autor:
Milbradt, Cassandra
Limit-Orderbücher sind das Standardinstrument der Preisbildung in modernen Finanzmärkten. Während Strom traditionell in Auktionen gehandelt wird, gibt es Intraday Strommärkte wie beispielsweise den SIDC-Markt, in welchem Käufer und Verkäufer ü
Externí odkaz:
http://edoc.hu-berlin.de/18452/28476
Autor:
Milbradt, Cassandra
We are concerned with the problem of detecting a single change point in the model parameters of time series data generated from an exponential family. In contrast to the existing literature, we allow that the true location of the change point is itse
Externí odkaz:
http://arxiv.org/abs/2207.02538
Autor:
Milbradt, Cassandra, Kreher, Dörte
We develop a cross-border market model between two countries in which the transmission capacities that enable transactions between market participants of different countries are limited. Starting from two reduced-form representations of national limi
Externí odkaz:
http://arxiv.org/abs/2207.01939
Autor:
Kreher, Dörte, Milbradt, Cassandra
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the ex
Externí odkaz:
http://arxiv.org/abs/2010.13497
Autor:
Milbradt, Cassandra, Wahl, Martin
We derive high-probability bounds for the reconstruction error of PCA in infinite dimensions. We apply our bounds in the case that the eigenvalues of the covariance operator satisfy polynomial or exponential upper bounds.
Comment: 10 pages, to a
Comment: 10 pages, to a
Externí odkaz:
http://arxiv.org/abs/1909.10787
Autor:
Kreher, Dörte, Milbradt, Cassandra
Publikováno v:
SIAM Journal on Financial Mathematics. 14:1-51
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the ex
Autor:
Milbradt, Cassandra, Wahl, Martin
Publikováno v:
In Statistics and Probability Letters June 2020 161
Autor:
Kreher, D��rte, Milbradt, Cassandra
We study a microscopic limit order book model, in which the order dynamics depend on the current best bid and ask price and the current volume density functions, simultaneously, and derive its macroscopic high-frequency dynamics. As opposed to the ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3b6a97034bd0a9364460ec01ae0ed365