46 citations · 98 across the 13 of their papers we have counts for
15 papers
Market Making with Stochastic Liquidity Demand: Simultaneous Order Arrival and Price Change Forecasts
Agostino Capponi, José E. Figueroa-López, Chuyi Yu
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each perio…
Estimation of Tempered Stable Lévy Models of Infinite Variation
José E. Figueroa-López, Ruoting Gong, Yuchen Han
We propose a new method for the estimation of a semiparametric tempered stable Lévy model. The estimation procedure combines iteratively an approximate semiparametric method of mom…
Kernel Estimation of Spot Volatility with Microstructure Noise Using Pre-Averaging
José E. Figueroa-López, Bei Wu
We first revisit the problem of estimating the spot volatility of an Itô semimartingale using a kernel estimator. We prove a Central Limit Theorem with optimal convergence rate for…
Bayesian Inference on Volatility in the Presence of Infinite Jump Activity and Microstructure Noise
Qi Wang, José E. Figueroa-López, Todd Kuffner
Volatility estimation based on high-frequency data is key to accurately measure and control the risk of financial assets. A Lévy process with infinite jump activity and microstruct…
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…