27 citations · 38 across the 5 of their papers we have counts for
5 papers
Fact or friction: Jumps at ultra high frequency
Kim Christensen, Roel C. A. Oomen, Mark Podolskij
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price varia…
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…
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…
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 (…
-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control
Michael Giegrich, Roel Oomen, Christoph Reisinger
In this paper, we propose a novel -nearest neighbor resampling procedure for estimating the performance of a policy from historical data containing realized episodes of a decisi…