3 papers
q-fin.ST2024
Jump detection in high-frequency order prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical…
q-fin.TR2018
Theoretical and empirical analysis of trading activity
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
Understanding the structure of financial markets deals with suitably determining the functional relation between financial variables. In this respect, important variables are the t…
q-fin.TR2017
The amazing power of dimensional analysis: Quantifying market impact
Mathias Pohl, Alexander Ristig, Walter Schachermayer +1
This note complements the inspiring work on dimensional analysis and market microstructure by Kyle and Obizhaeva [18]. Following closely these authors, our main result shows by a s…