11 citations · 18 across the 2 of their papers we have counts for
3 papers
q-fin.ST2021★ 11 cited
Modeling Price Clustering in High-Frequency Prices
Vladimír Holý, Petra Tomanová
The price clustering phenomenon manifesting itself as an increased occurrence of specific prices is widely observed and well-documented for various financial instruments and market…
stat.AP2020★ 7 cited
Clustering of Arrivals in Queueing Systems: Autoregressive Conditional Duration Approach
Petra Tomanová, Vladimír Holý
Arrivals in queueing systems are typically assumed to be independent and exponentially distributed. Our analysis of an online bookshop, however, shows that there is an autocorrelat…
q-fin.ST2018
Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data with Application to Intraday Pairs Trading Strategy
Vladimír Holý, Petra Tomanová
When stock prices are observed at high frequencies, more information can be utilized in estimation of parameters of the price process. However, high-frequency data are contaminated…