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q-fin.ST2024
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.…
q-fin.ST2024
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…