63 citations · 123 across the 5 of their papers we have counts for
5 papers
Estimation of the lead-lag parameter from non-synchronous data
M. Hoffmann, M. Rosenbaum, N. Yoshida
We propose a simple continuous time model for modeling the lead-lag effect between two financial assets. A two-dimensional process reproduces a lead-lag effect if, for…
Estimating the efficient price from the order flow: a Brownian Cox process approach
Sylvain Delattre, Christian Y. Robert, Mathieu Rosenbaum
At the ultra high frequency level, the notion of price of an asset is very ambiguous. Indeed, many different prices can be defined (last traded price, best bid price, mid price,...…
Estimation of volatility functionals: the case of a square root n window
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…
Large tick assets: implicit spread and optimal tick size
Khalil Dayri, Mathieu Rosenbaum
In this work, we provide a framework linking microstructural properties of an asset to the tick value of the exchange. In particular, we bring to light a quantity, referred to as i…
Integrated volatility and round-off error
Mathieu Rosenbaum
We consider a microstructure model for a financial asset, allowing for price discreteness and for a diffusive behavior at large sampling scale. This model, introduced by Delattre a…