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econ.EM2024
Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
José E. Figueroa-López, Jincheng Pang, Bei Wu
For a multidimensional Itô semimartingale, we consider the problem of estimating integrated volatility functionals. Jacod and Rosenbaum (2013) studied a plug-in type of estimator b…
q-fin.TR2024
Adaptive Optimal Market Making Strategies with Inventory Liquidation Cos
Jonathan Chávez-Casillas, José E. Figueroa-López, Chuyi Yu +1
A novel high-frequency market-making approach in discrete time is proposed that admits closed-form solutions. By taking advantage of demand functions that are linear in the quoted…