Search Results for author: Markus Bibinger

Found 3 papers, 2 papers with code

Probabilistic models and statistics for electronic financial markets in the digital age

no code implementations11 Jun 2024 Markus Bibinger

The scope of this manuscript is to review some recent developments in statistics for discretely observed semimartingales which are motivated by applications for financial markets.

Jump detection in high-frequency order prices

1 code implementation26 Feb 2024 Markus Bibinger, Nikolaus Hautsch, Alexander Ristig

Different to the classical model of additive, centered market microstructure noise, we consider one-sided microstructure noise for order prices in a limit order book.

Volatility estimation for stochastic PDEs using high-frequency observations

2 code implementations10 Oct 2017 Markus Bibinger, Mathias Trabs

We study the parameter estimation for parabolic, linear, second-order, stochastic partial differential equations (SPDEs) observing a mild solution on a discrete grid in time and space.

Statistics Theory Probability Methodology Statistics Theory 62M10 (Primary), 60H15 (Secondary)

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