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Zero-intelligence realized variance estimation
Gatheral, Jim; Oomen, Roel C. A. - In: Finance and stochastics 14 (2010) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10003951508
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Assessing MiFID II regulation on tick sizes : a transaction costs analysis viewpoint
Laruelle, Sophie; Rosenbaum, Mathieu; Savku, Emel - In: Market microstructure and liquidity 5 (2019) 1/4, pp. 1-27
Persistent link: https://www.econbiz.de/10012819950
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Volatility and covariation estimation when microstructure noise and trading times are endogenous
Robert, Christian Yann; Rosenbaum, Mathieu - In: Mathematical finance : an international journal of … 22 (2012) 1, pp. 133-164
Persistent link: https://www.econbiz.de/10009554688
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The behavior of high-frequency traders under different market stress scenarios
Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54
Persistent link: https://www.econbiz.de/10011988891
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Large tick assets : implicit spread and optimal tick size
Dayri, Khalil; Rosenbaum, Mathieu - In: Market microstructure and liquidity 1 (2015) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10011588190
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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280
Persistent link: https://www.econbiz.de/10011945670