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; Toscano, Giacomo. - In: QUANTITATIVE FINANCE. - ISSN 1469-7688. - STAMPA. - 23:3(2023), pp. 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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