Jul 5, 2024 · Digging into Stoikov's Micro Price paper, I'm having some trouble understanding the intuition behind the second of the two different absorbing states and it's implication for the calculation …

May 10, 2024 · This paper is trying to use historical data to calibrate the mean-reversion parameter because they believe the reversion behaviour is quite consistent. The process is not much different …

Jul 16, 2024 · Moreover i try to test normality of the process by doing an Euler Scheme diffusion and basic adequation statistics tests don't reject normality assumption. I read in some papers here or …

Feb 29, 2024 · In this case, we typically want to test how many segments are needed to provide the best representation of the data generating process. They discuss tests for finding changes in mean and/or …

I am reading paper High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov. At the end of the paper they obtain a closed-form solution to the optimal market-maker …

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Two papers - two different solutions of the Ornstein-Uhlenbeck process Ask Question Asked 7 years, 9 months ago Modified 7 years, 9 months ago

Dec 1, 2019 · There is only one single Brownian motion driving the process? One applies the Cholesky decomposition to the covariance matrix to generate sample paths of several correlated processes …

Jan 6, 2025 · However, the model must be under the risk-neutral measure $\mathbb {Q}$ for options (or any other derivatives) pricing. From the book The Heston Model and Its Extensions in Matlab and …

Feb 26, 2019 · At a conference the speaker mentioned that it is a standard approach today to use a mix of local and stochastic volatility model in equity, FX and interest rates. Can you please suggest the most