1 code implementation • 26 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.
1 code implementation • 16 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.
no code implementations • 3 Dec 2018 • Nikolaus Hautsch, Christoph Scheuch, Stefan Voigt
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership.
no code implementations • 24 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.