From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution

DOI10.1080/14697688.2023.2175325zbMath1519.91247arXiv2202.12137OpenAlexW4321605129MaRDI QIDQ6158406

Fabrizio Lillo, Giacomo Toscano, Unnamed Author

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2202.12137

zbMATH Keywords

volatility estimationlimit order book (LOB)electronic financial markets

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Financial markets (91G15)

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