每日简报

资产特异的限价订单微观结构噪声：参数估计与经验证据AI 解读

The one-sided microstructure noise model for high-frequency quotes from a limit order book is generalized to capture asset-specific noise tail behaviour. Estimation of a noise tail parameter becomes the key step for inference. This is possible based on moments of the high-frequency returns when specifying a parametric noise model. For a Gamma noise distribution, we establish a central limit theorem for 1-dependent observations from the resulting Gamma difference distribution…

McKean–Vlasov 模型波动率的拟合优度检验AI 解读

This paper develops a statistical framework for goodness-of-fit testing of volatility functions in i.i.d. McKean-Vlasov stochastic differential equations, which model large diffusion systems with distribution-dependent dynamics. Although integrated volatility estimation for classical SDEs is well established, formal model validation and goodness-of-fit testing for McKean-Vlasov systems remain largely unexplored, particularly in settings combining large particle limits with…