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Found 7 papers, 6 papers with code
Simulation and estimation of an agent-based market-model with a matching engine
This is possible when agent-based model interactions occur asynchronously via order matching using a matching engine in event time to replace sequential calendar time market clearing.
Simulation and estimation of a point-process market-model with a matching engine
Here we consider a 10-variate Hawkes process with simple rules to simulate common order types which are submitted to a matching engine.
The Epps effect under alternative sampling schemes
Concretely, we find that the Epps effect is present under all three definitions of time and that correlations emerge faster under trade time compared to calendar time, whereas correlations emerge linearly under volume time.
Fourier instantaneous estimators and the Epps effect
We compare the Malliavin-Mancino and Cuchiero-Teichmann Fourier instantaneous estimators to investigate the impact of the Epps effect arising from asynchrony in the instantaneous estimates.
Using the Epps effect to detect discrete processes
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets.
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
We implement and test kernel averaging Non-Uniform Fast Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously sampled event-data using the Malliavin-Mancino Fourier estimator.
Revisiting the Epps effect using volume time averaging: An exercise in R
We revisit and demonstrate the Epps effect using two well-known non-parametric covariance estimators; the Malliavin and Mancino (MM), and Hayashi and Yoshida (HY) estimators.
