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

被引：1

作者：

Mariotti, Tommaso ^{[1
]}

Lillo, Fabrizio ^{[1
,2
]}

Toscano, Giacomo ^{[3
]}

机构：

[1] Scuola Normale Super Pisa, Piazza Cavalieri 7, I-56126 Pisa, Italy

[2] Univ Bologna, Dept Math, Piazza Porta San Donato 5, I-40126 Bologna, Italy

[3] Univ Florence, Dept Econ & Management, Via Pandette 9, I-50127 Florence, Italy

来源：

关键词：

SPOT VOLATILITY; INTEGRATED VOLATILITY; SCHEME; PRICES;

D O I：

10.1080/14697688.2023.2175325

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book

引用

页码：367 / 388

页数：22

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