Limit Order Book Simulation and Trade Evaluation with $K$-Nearest-Neighbor Resampling

Authors: Giegrich, Michael, Oomen, Roel, Reisinger, Christoph

Subject Terms: Quantitative Finance - Trading and Market Microstructure, Computer Science - Machine Learning, Mathematics - Optimization and Control, Quantitative Finance - Statistical Finance, Statistics - Machine Learning

Access URL: http://arxiv.org/abs/2409.06514

$K$-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control

Authors: Giegrich, Michael, Oomen, Roel, Reisinger, Christoph

Subject Terms: Statistics - Machine Learning, Computer Science - Machine Learning, Mathematics - Optimization and Control, Mathematics - Statistics Theory, Statistics - Methodology

Access URL: http://arxiv.org/abs/2306.04836

An automated technique to generate relocatable partial bitstreams for Xilinx FPGAs

Authors: Oomen, Roel, Nguyen, Tuan, Kumar, Akash, Corporaal, Henk

Source: 2015 25th International Conference on Field Programmable Logic and Applications (FPL) Field Programmable Logic and Applications (FPL), 2015 25th International Conference on. :1-4 Sep, 2015

Relation: 2015 25th International Conference on Field Programmable Logic and Applications (FPL)

AI-driven liquidity provision in OTC financial markets

Authors: Cartea, Álvaro, Chang, Patrick, Mroczka, Mateusz, Oomen, Roel

Source: Quantitative finance. 22(12):2171-2204

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The drift burst hypothesis

Authors: Christensen, Kim, Oomen, Roel, Renò, Roberto

Source: Journal of econometrics. 227(2):461-497

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Price signatures

Authors: Oomen, Roel

Source: Quantitative finance. 19(5):733-761

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100079548296.0x000001&indx=1&recIds=ETOCvdc_100079548296.0x000001

Execution in an aggregator

Authors: Oomen, Roel

Source: Quantitative finance. 17(3):383-404

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100048594194.0x000001&indx=1&recIds=ETOCvdc_100048594194.0x000001

Last look

Authors: Oomen, Roel

Source: Quantitative finance. 17(7):1057-1070

Availability: http://explore.bl.uk/primo_library/libweb/action/display.do?tabs=detailsTab&gathStatTab=true&ct=display&fn=search&doc=ETOCvdc_100048521652.0x000001&indx=1&recIds=ETOCvdc_100048521652.0x000001

Fact or friction: Jumps at ultra high frequency

Authors: Christensen, Kim, Oomen, Roel C.A., Podolskij, Mark

Source: In Journal of Financial Economics December 2014 114(3):576-599

A BLOCKING AND REGULARIZATION APPROACH TO HIGH-DIMENSIONAL REALIZED COVARIANCE ESTIMATION

Authors: HAUTSCH, NIKOLAUS, KYJ, LADA M., OOMEN, ROEL C. A.

Source: Journal of Applied Econometrics, 2012 Jun 01. 27(4), 625-645.

Access URL: http://dx.doi.org/10.1002/jae.1218

Covariance measurement in the presence of non-synchronous trading and market microstructure noise

Authors: Griffin, Jim E., Oomen, Roel C.A.

Source: In Journal of Econometrics 2011 160(1):58-68

[Realized Variance and Market Microstructure Noise]: Comment

Authors: Oomen, Roel C. A.

Source: Journal of Business & Economic Statistics, 2006 Apr 01. 24(2), 195-202.

Access URL: https://www.jstor.org/stable/27638868

Properties of Realized Variance under Alternative Sampling Schemes

Authors: Oomen, Roel C. A.

Source: Journal of Business & Economic Statistics, 2006 Apr 01. 24(2), 219-237.

Access URL: https://www.jstor.org/stable/27638871

Realised quantile-based estimation of the integrated variance

Authors: Christensen, Kim, Oomen, Roel, Podolskij, Mark

Source: In Journal of Econometrics 2010 159(1):74-98

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Testing for jumps when asset prices are observed with noise–a “swap variance” approach

Authors: Jiang, George J., Oomen, Roel C.A.

Source: In Journal of Econometrics 2008 144(2):352-370

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Using high frequency stock market index data to calculate, model & forecast realized return variance

Authors: Oomen, Roel C. A, European University Institute. Department of Economics

Access URL: http://hdl.handle.net/2027/uc1.31822029910080

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