no code implementations • 21 Sep 2022 • B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
Several rate- and variance-efficient estimators have been proposed in the literature when the jump component is of bounded variation.
no code implementations • 2 Feb 2022 • B. Cooper Boniece, José E. Figueroa-López, Yuchen Han
The proposed method is based on a two-step debiasing procedure for the truncated realized quadratic variation of the process.
no code implementations • 8 Jan 2021 • Agostino Capponi, José E. Figueroa-López, Chuyi Yu
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB).
no code implementations • 3 Jan 2021 • José E. Figueroa-López, Ruoting Gong, Yuchen Han
The method is tested via simulations to estimate the volatility and the Blumenthal-Getoor index of the generalized CGMY model as well as the integrated volatility of a Heston-type model with CGMY jumps.
no code implementations • 4 Apr 2020 • José E. Figueroa-López, Bei Wu
We prove a Central Limit Theorem for the estimation error with an optimal rate and study the optimal selection of the bandwidth and kernel functions.