We propose a continuous-time version of the adaptive robust methodology introduced in Bielecki et al. (2019). An agent solves a stochastic control problem where the underlying uncertainty follows a jump-diffusion process and the agent does not know the drift parameters of the process. The agent...

We propose a model for stock price dynamics that explicitly incorporates random waiting times between trades, also known as duration, and show how option prices can be alculated using this model. We use ultra-high-frequency data for blue-chip companies to motivate a particular choice of...

Analizamos el impacto de las operaciones que se realizan en mercados financieros a gran velocidad utilizando un modelo con tres tipos de operadores: consumidores de liquidez, creadores de mercado y operadores de alta frecuencia. Nuestros cuatro resultados principales son: i) el impacto de las...

The understanding of joint asset return distributions is an important ingredient for managing risks of portfolios. Although this is a well‐discussed issue in fixed income and equity markets, it is a challenge for energy commodities. In this study we are concerned with describing the joint...

Algorithmic trading (AT) and high-frequency (HF) trading, which are responsible for over 70% of US stocks trading volume, have greatly changed the microstructure dynamics of tick-by-tick stock data. In this article, we employ a hidden Markov model to examine how the intraday dynamics of the...

We test the performance of different volatility estimators that have recently been proposed in the literature and have been designed to deal with problems arising when ultra high-frequency data are employed: microstructure noise and price discontinuities. Our goal is to provide an extensive...