3 papers
math.ST2026
Asset-specific limit order microstructure noise: Parameter estimation and empirical evidence
Markus Bibinger, Adrian Grüber, Moritz Jirak
The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail…
q-fin.ST2025
Jump detection in high-frequency order prices
Markus Bibinger, Nikolaus Hautsch, Alexander Ristig
We propose methods to infer jumps of a semi-martingale, which describes long-term price dynamics, based on discrete, noisy, high-frequency observations. Different to the classical…
q-fin.ST2025
Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion
Markus Bibinger, Jun Yu, Chen Zhang
A multivariate fractional Brownian motion (mfBm) with component-wise Hurst exponents is used to model and forecast realized volatility (RV). We investigate the interplay between co…