27 citations · 29 across the 3 of their papers we have counts for
3 papers
econ.EM2026★ 27 cited
Realised quantile-based estimation of the integrated variance
Kim Christensen, Roel Oomen, Mark Podolskij
In this paper, we propose a new jump robust quantile-based realised variance measure of ex-post return variation that can be computed using potentially noisy data. The estimator is…
econ.EM2026★ 2 cited
The drift burst hypothesis
Kim Christensen, Roel C. A. Oomen, Roberto Renò
The drift burst hypothesis postulates the existence of short-lived locally explosive trends in the price paths of financial assets. The recent U.S. equity and treasury flash crashe…
q-fin.TR2024
Limit Order Book Simulation and Trade Evaluation with -Nearest-Neighbor Resampling
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we show how -nearest neighbor (-NN) resampling, an off-policy evaluation method proposed in \cite{giegrich2023k}, can be applied to simulate limit order book (…