18 citations · 28 across the 4 of their papers we have counts for
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q-fin.ST2017
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…
q-fin.TR2017
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…