most citedFrom Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution

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q-fin.TR2022★ 2 cited

From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution

Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano

The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which leads to biased measures. Alternative estimators have been devel…