We propose a structural model for durations between events and (a vector of) associated marks, using a multivariate Brownian motion. Successive passage times of one latent Brownian component relative to random boundaries define durations. The other, correlated, Brownian components generate the...

Risk-neutral traders executing derivative trades on behalf of portfolio managers maximize their expected profit compared to trading at pre-determined times by timing trades, using the quickly changing risk exposures of derivative baskets. The optimal order submission strategy is a sequence of...

We derive nonparametric bounds for inference about functionals of high-frequency volatility, in particular, integrated power variance. In the absence of microstructure noise, we find that standard Realized Variance attains the nonparametric efficiency bound, also in case of unequally spaced...