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math.ST2026
Asset-specific limit order microstructure noise: Parameter estimation and empirical evidence
Markus Bibinger, Adrian Grüber, Moritz Jirak
The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail…
math.ST2026
Asymptotic equivalence for nonparametric additive regression
Moritz Jirak, Alexander Meister, Angelika Rohde
We prove asymptotic equivalence of nonparametric additive regression and an appropriate Gaussian white noise experiment in which a multidimensional shifted Wiener process is observ…