Volatility estimation under one-sided errors with applications to limit order books

DOI10.1214/15-AAP1161zbMath1353.60044arXiv1408.3768OpenAlexW2963594836MaRDI QIDQ350689

Moritz Jirak, Markus Bibinger, Markus Reiss

Publication date: 9 December 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.3768

zbMATH Keywords

Poisson point processhigh-frequency datasemimartingaleBrownian excursion arealimit order booknonparametric minimax ratevolatility estimation

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Generalizations of martingales (60G48) Applications of stochastic analysis (to PDEs, etc.) (60H30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Limit theorems in probability theory (60F99)

Related Items (2)

Determining the integrated volatility via limit order books with multiple records ⋮ On the Asymptotic Structure of Brownian Motions with a Small Lead-Lag Effect

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