Review of statistical approaches for modeling high-frequency trading data
Due to technological advancements over the last two decades, algorithmic trading strategies
are now widely used in financial markets. In turn, these strategies have generated high …
are now widely used in financial markets. In turn, these strategies have generated high …
Estimation of tempered stable Lévy models of infinite variation
Truncated realized quadratic variations (TRQV) are among the most widely used high-
frequency-based nonparametric methods to estimate the volatility of a process in the …
frequency-based nonparametric methods to estimate the volatility of a process in the …