Search Results for author: Nikolaus Hautsch

Found 6 papers, 2 papers with code

Consistent Estimation of the High-Dimensional Efficient Frontier

no code implementations23 Sep 2024 Taras Bodnar, Nikolaus Hautsch, Yarema Okhrin, Nestor Parolya

It is shown that two out of three quantities of interest are biased and overestimated by their sample counterparts under the high-dimensional asymptotic regime.

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.

HARNet: A Convolutional Neural Network for Realized Volatility Forecasting

1 code implementation16 May 2022 Rafael Reisenhofer, Xandro Bayer, Nikolaus Hautsch

HARNets allow for an explicit initialization scheme such that before optimization, a HARNet yields identical predictions as the respective baseline HAR model.

Time Series Analysis

Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets

no code implementations3 Dec 2018 Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt

A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership.

Friction

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

no code implementations24 Sep 2017 Martin D. Gould, Nikolaus Hautsch, Sam D. Howison, Mason A. Porter

A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty.

DO HIGH-FREQUENCY DATA IMPROVE HIGH-DIMENSIONALPORTFOLIO ALLOCATIONS

no code implementations journal 2013 Nikolaus Hautsch, LADA M. KYJ AND PETER MALEC

This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance portfolios based on the constituents of the S&P 500.

Vocal Bursts Intensity Prediction

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