Repository dedicated for the analysis of some papers on high frequency trading. Our work is done under the supervision of Professor Mathieu Rosenbaum in the course MAP511 - Initiation to Research of École Polytechnique.
Group members:
Here are the papers we used in our research as well as their corresponding folder/notebook where it was used:
[1] Robert Almgren and Neil Chriss (2000). Optimal Execution of Portfolio Transactions, Journal of Risk, DOI: 10.21314/JOR.2001.041. (Paper, Notebook)
[2] Lan Zhang, Per A Mykland & Yacine Aït-Sahalia (2005). A Tale of Two Time Scales, Journal of the American Statistical Association, 100:472, 1394-1411, DOI: 10.1198/016214505000000169. (Paper, Notebook)
[3] Christian Y. Robert, Mathieu Rosenbaum (2011). A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones, Journal of Financial Econometrics, Volume 9, Issue 2, Spring 2011, Pages 344–366. DOI: 10.1093/jjfinec/nbq023. (Paper, Notebook)
[4] Robert, C. Y. and M. Rosenbaum (2011). Volatility and covariation estimation when microstructure noise and trading times are endogenous. Journal of Financial Econometrics 9 (2), 344–366. DOI: 10.1093/jjfinec/nbq023. (Paper, Notebook)
[5] Alfonsi, A. (2005). On the discretization schemes for the CIR (and Bessel squared) processes. Monte Carlo Methods and Applications, 11(4), 355-384. DOI: 10.1515/156939605777438569. (Paper, Notebook)
[6] Peter Carr and Dilip B. Madan (2000). Option valuation using the fast Fourier transform, Journal of Computational Finance, DOI: 10.21314/JCF.1999.043. (Paper, Notebook)
[7] Kahl, C. and Jackel, P. (2005) Not-So-Complex Logarithms in the Heston Model. Wilmott Magazine, 19, 94-103. (Paper, Notebook)
[8] Heston, S. (1993): A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies 6, 327-343. (Paper, Notebook)