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The Model with Uncertainty Zones for Ultra High Frequency Prices and Durations: Applications to Statistical Estimation and Mathematical Finance

  • Christian Y. Robert
  • Mathieu Rosenbaum
Part of the New Economic Windows book series (NEW)

Abstract

The goal of this note is to describe a model for ultra high frequency prices and durations, the model with uncertainty zones developed in [27]. We also give some results from [28] and [29] which show how it can be used in practice for statistical estimation or in order to hedge derivatives. Before introducing this model, we briefly recall the classical approaches of price modelling in the so-called microstructure noise literature.

Keywords

Price Change Exit Time Transaction Price Short Selling Hedging Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Italia 2011

Authors and Affiliations

  • Christian Y. Robert
    • 1
  • Mathieu Rosenbaum
    • 2
  1. 1.CREST — ENSAE Paris TechParis
  2. 2.École PolytechniqueCMAPChâtenay-MalabryFrance

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