Improved volatility estimation based on limit order books
Year of publication: |
2014
|
---|---|
Authors: | Bibinger, Markus ; Jirak, Moritz ; Reiß, Markus |
Publisher: |
Berlin : SFB 649, Economic Risk |
Subject: | Brownian excursion area | limit order book | integrated volatility | Feynman-Kac | high-frequency data | Poisson point process | Theorie | Theory | Volatilität | Volatility | Wertpapierhandel | Securities trading | Marktmikrostruktur | Market microstructure | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
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