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math.ST2024
When Frictions are Fractional: Rough Noise in High-Frequency Data
Carsten H. Chong, Thomas Delerue, Guoying Li
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appe…
math.ST2024
Rate-optimal estimation of mixed semimartingales
Carsten H. Chong, Thomas Delerue, Fabian Mies
Consider the sum of a Brownian motion and an independent fractional Brownian motion with Hurst parameter . Even though is not a semimartinga…