Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book
Mariotti, T., Lillo, F., Toscano, G. (2023). From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution. QUANTITATIVE FINANCE, 23(3), 367-388 [10.1080/14697688.2023.2175325].
From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution
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_final.pdf
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