搜索结果: 1-15 共查到“microstructure”相关记录30条 . 查询时间(0.234 秒)
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, an...
Effect of microwave thawing on microstructure and physicochemical stability of low fat white sauces made with soy protein
Confocal laser scanning microscopy (CLSM) microwave heating SDS-PAGE soy protein isolate starch
2014/2/24
The microstructural and physicochemical stability of white sauces made with soy protein and modified waxy maize starch was evaluated after subjecting them to a freezing-thawing process in a convention...
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Market making limit order book pro-rata microstructure inventory risk marked point process stochastic control
2012/6/4
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the c...
Changes in the Physicochemical Properties, Microstructure and Sensory Characteristics of Shark Dendeng Using Different Drying Methods
Physicochemical Properties Microstructure
2016/5/31
The aim of the study was to identify physico-chemical properties, SEM (Scanning Electron Microscopy) and sensory characteristics of dendeng made from shark flesh (Chiloscyllium sp.). Three drying meth...
Is high-frequency trading inducing changes in market microstructure and dynamics?
financial markets algorithmic trading self-similarity
2010/10/20
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Asymptotic equivalence volatility estimation microstructure noise
2010/10/18
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
Effect of microbial transglutaminase on NMR relaxometry and microstructure of pork myofibrillar protein gel
PMP gel MTG NMR proton mobility WHC Microstructure
2012/8/13
The effect of microbial transglutaminase (MTG) on nuclear magnetic resonance relaxation (NMR) behaviour, water holding capacity (WHC) and microstructure of pork myofibrillar protein (PMP) gel was stud...
In this article, we develop a model for the evolution of real estate prices. A wide range of inputs, including stochastic interest rates and changing demands for the asset,are considered. Maximizing t...
The objective was to determine the effect of a peptide sweetener, Aspartame, compared to a carbohydrate sweetener, sucrose, on the microstructure of yogurt. Microstructure was determined by transmissi...
Microstructure and Some Functional Properties of Spray Dried Cheddar Whey Concentrated by Ultrafiltration or Combination of Ultrafiltration and Vacuum Evaporation
dairy dehydration role
2009/6/17
In order to study the influence of the vacuum evaporation (VE) process on the functionality of whey protein concentrates (WPC’s) , Cheddar WPC’s were produced with and without VE, viz. by i) ultrafilt...
High frequency market microstructure noise estimates and liquidity measures
High frequency market microstructure noise estimates and liquidity measures
2010/11/1
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...
Rheology and Microstructure of Labneh (Concentrated Yogurt)
rheology microstructure concentrated yogurt labneh
2008/3/28
Labneh was produced by concentrating milk to approximately 23% total solids (wt/vol) by the traditional cloth bag method (control), ultrafiltration, reverse osmosis, or direct reconstitution. For ultr...