Search Results for author: Nikolaus Hautsch

Found 5 papers, 2 papers with code

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.


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.


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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