From zero-intelligence to queue-reactive: limit-order-book modeling for high-frequency volatility estimation and optimal execution

Tommaso Mariotti, Fabrizio Lillo and Giacomo Toscano

Quantitative Finance, 2023, vol. 23, issue 3, 367-388

Abstract: Estimators of integrated and spot variance are tested using the queue-reactive model of the limit order book

Date: 2023
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DOI: 10.1080/14697688.2023.2175325

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