72 citations · 178 across the 21 of their papers we have counts for
26 papers
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…
Surface charge density wave in UTe2
Pablo García Talavera, Miguel Águeda Velasco, Makoto Shimizu +12
The spatially uniform electronic density characteristic of a metal can become unstable at low temperatures, leading to the formation of charge density waves (CDWs). These CDWs, obs…
Probabilistic models and statistics for electronic financial markets in the digital age
Markus Bibinger
The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets.…
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…
Testing for jumps in processes with integral fractional part and jump-robust inference on the Hurst exponent
Markus Bibinger, Michael Sonntag
We develop and investigate a test for jumps based on high-frequency observations of a fractional process with an additive jump component. The Hurst exponent of the fractional proce…
Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
Markus Bibinger
We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy obs…