18 citations · 27 across the 3 of their papers we have counts for
4 papers
Optimum thresholding using mean and conditional mean square error
José E. Figueroa-López, Cecilia Mancini
We consider a univariate semimartingale model for (the logarithm of) an asset price, containing jumps having possibly infinite activity (IA). The nonparametric threshold estimator…
Optimal placement of a small order in a diffusive limit order book
José E. Figueroa-López, Hyoeun Lee, Raghu Pasupathy
We study the optimal placement problem of a stock trader who wishes to clear his/her inventory by a predetermined time horizon t, by using a limit order or a market order. For a di…
Sieve-based confidence intervals and bands for Lévy densities
José E. Figueroa-López
The estimation of the Lévy density, the infinite-dimensional parameter controlling the jump dynamics of a Lévy process, is considered here under a discrete-sampling scheme. In this…
Small-time expansions for the transition distributions of Lévy processes
José E. Figueroa-López, Christian Houdré
Let be a Lévy process with absolutely continuous Lévy measure . Small time polynomial expansions of order in are obtained for the tails of the proc…