A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
New method for spot volatility estimation with reduced microstructure noise.
In this paper, we study the Edgeworth expansion for a pre-averaging estimator of quadratic variation in the framework of continuous diffusion models observed with noise. More specifically, we obtain a second order expansion for the joint density of the estimators of quadratic variation and its asymptotic variance. Our …
This paper presents the nonparametric inference for nonlinear volatility functionals of general multivariate Itô semimartingales, in high-frequency and noisy setting. Pre-averaging and truncation enable simultaneous handling of noise and jumps. Second-order expansion reveals explicit biases and a pathway to bias correc…
A streaming algorithm estimates quadratic covariation from financial data efficiently.
Paper tackles leverage effect estimation from noisy data.
Paper improves volatility estimation using a Queue-Reactive model.