70 citations
Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.
- Aarhus UniversityDK3 papers
- University of AmsterdamNL2 papers
- Aix-Marseille UniversitéFR1 paper
- Deutsche Bank (Germany)DE1 paper
- ETH ZurichCH1 paper
- Humboldt-Universität zu BerlinDE1 paper
- London School of Economics and Political ScienceGB1 paper
- University College LondonGB1 paper
- University of VeronaIT1 paper
5 papers
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price varia…
Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel Oomen, Mark Podolskij
In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is…
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashe…
Portfolio liquidation in dark pools in continuous time
Peter Kratz, Torsten Schöneborn
We consider an illiquid financial market where a risk averse investor has to liquidate a portfolio within a finite time horizon [0,T] and can trade continuously at a traditional ex…
The Hyperanalytic Wavelet Transform
S. C. Olhede, G. Metikas
In this paper novel classes of 2-D vector-valued spatial domain wavelets are defined, and their properties given. The wavelets are 2-D generalizations of 1-D analytic wavelets, dev…