Jump detection in high-frequency order prices

By Markus Bibinger, Nikolaus Hautsch, Alexander Ristig

Published 2024-02-26

Everscope rating

1632.8

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Statistical inference for jump detection. Problem types: Time Series Analysis, Jump Detection, Volatility Estimation.

arXiv:2403.00819 · Paper rankings

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