Nikolaus Hautsch

University of Vienna - Department of Statistics and Operations Research

Kolingasse 14

Vienna, A-1090

Austria

SCHOLARLY PAPERS

60

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Scholarly Papers (60)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Université Paris Dauphine, Hong Kong Monetary Authority - Hong Kong Institute for Monetary Research (HKIMR), University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,338 (2,075)

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non-standard errors, multi-analyst approach, liquidity

2.

On the Dark Side of the Market: Identifying and Analyzing Hidden Order Placements

Number of pages: 43 Posted: 13 Feb 2012
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 1,242 (22,922)
Citation 13

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limit order market, hidden liquidity, high-frequency trading, non-display order, iceberg orders

3.

A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market

University of Copenhagen Finance Working Paper No. 2004/03
Number of pages: 38 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 1,102 (27,319)
Citation 2

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Buy and sell arrival process, order book information, market depth, bivariate

Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations

Number of pages: 29 Posted: 04 Mar 2002
Nikolaus Hautsch and Joachim Inkmann
University of Vienna - Department of Statistics and Operations Research and University of Melbourne - Department of Finance
Downloads 924 (34,524)
Citation 1

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Currency overlay management, optimal hedging, rebalancing, fixed-mix, DCC-GARCH

Optimal Hedging of the Currency Exchange Risk Exposure of Dynamically Balanced Strategic Asset Allocations

Journal of Asset Management, Vol. 4, No. 3, pp. 173-198, September 2003
Posted: 01 Nov 2008
Nikolaus Hautsch and Joachim Inkmann
University of Vienna - Department of Statistics and Operations Research and University of Melbourne - Department of Finance

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Currency overlay management, optimal hedging, rebalancing, fixed-mix, DCC-GARCH

Modelling Financial High Frequency Data Using Point Processes

CORE Discussion Paper No. 2006/80
Number of pages: 31 Posted: 19 Nov 2006
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain
Downloads 490 (79,457)
Citation 4

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Duration, intensity, point process, high frequency data, ACD models

Modelling Financial High Frequency Data Using Point Processes

CRC Discussion Paper No. 2007-066
Number of pages: 30 Posted: 06 Aug 2008
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 391 (103,643)
Citation 15

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Financial point processes, dynamic duration models, dynamic intensity models

Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery

Centre for Financial Research (CFR), Working Paper 04-10
Number of pages: 37 Posted: 14 Jun 2005 Last Revised: 16 Sep 2010
Dieter Hess and Nikolaus Hautsch
University of Cologne - Department of Corporate Finance and University of Vienna - Department of Statistics and Operations Research
Downloads 751 (45,923)
Citation 4

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Bayesian learning, information precision, macroeconomic announcements, asymmetric price response, financial markets, high-frequency data

Bayesian Learning in Financial Markets - Testing for the Relevance of Information Precision in Price Discovery

Journal of Financial and Quantitative Analysis (JFQA), Vol. 42, No. 1, 2007
Posted: 01 Nov 2008
Nikolaus Hautsch and Dieter Hess
University of Vienna - Department of Statistics and Operations Research and University of Cologne - Department of Corporate Finance

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information quality, macroeconomic announcements, event studies, asymmetric price response, high-frequency data

Order Aggressiveness and Order Book Dynamics

University of Copenhagen Economics Working Paper No. 2005/04
Number of pages: 31 Posted: 14 Jun 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 735 (47,277)
Citation 5

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Order aggressiveness, multivariate intensity, open limit order book, order book dynamics

Order Aggressiveness and Order Book Dynamics

Empirical Economics, Forthcoming
Posted: 01 Dec 2005
Nikolaus Hautsch and Tony Hall
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN

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open limit order book, aggressive market orders, aggressive limit orders and cancellations, multivariate intensity

8.

Modelling Intraday Trading Activity Using Box-Cox Acd Models

Number of pages: 25 Posted: 08 Nov 2001
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 690 (52,115)
Citation 9

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volume durations, liquidity concepts, Generalized F distribution, out-of-sample-forecasts

9.

The Market Impact of a Limit Order

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 45 Posted: 16 Sep 2010 Last Revised: 10 Oct 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 636 (57,898)
Citation 22

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price impact, limit order, impulse response function, high-frequency cointegration

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

CoFE Working Paper No. 01/05
Number of pages: 25 Posted: 09 Nov 2001
Nikolaus Hautsch and Winfried Pohlmeier
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)
Downloads 594 (62,379)

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transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Econometric Analysis of Financial Transaction Data: Pitfalls and Opportunities

Posted: 19 Nov 2001
Nikolaus Hautsch and Winfried Pohlmeier
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics & Center of Finance & Econometrics (CoFE)

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Keywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor tradingKeywords: transaction data, autoregressive conditional duration models, ordered response and count models, electronic and floor trading

Price Adjustment to News with Uncertain Precision

EFA 2009 Bergen Meetings Paper
Number of pages: 49 Posted: 04 Mar 2007 Last Revised: 29 Mar 2012
Dieter Hess, Nikolaus Hautsch and Christoph Müller
University of Cologne - Department of Corporate Finance, University of Vienna - Department of Statistics and Operations Research and University of Cologne
Downloads 565 (66,522)
Citation 1

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Bayesian learning, information quality, precision signals, macroeconomic announcements

Price Adjustment to News with Uncertain Precision

Journal of International Money and Finance, Vol. 31, No. 2, 2012
Posted: 09 Feb 2012 Last Revised: 15 Feb 2012
Nikolaus Hautsch, Dieter Hess and Christoph Müller
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and University of Cologne

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Bayesian learning, Macroeconomic announcements, Information quality, Precision signals

12.

Local Mispricing and Microstructural Noise: A Parametric Perspective

Number of pages: 46 Posted: 23 Feb 2017 Last Revised: 29 Sep 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, Faculty of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 491 (80,025)
Citation 5

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Volatility estimation; market microstructure noise; price reversal; momentum trading; contrarian trading

13.

Yield Curve Factors, Yield Volatility, and the Predictability of Bond Excess Returns

Number of pages: 34 Posted: 08 Mar 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 431 (93,391)
Citation 1

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term structure, factor volatilities, bond return premia

14.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Lancaster University - Department of Accounting and FinanceUniversity of Manchester - Alliance Manchester Business School, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 429 (94,124)
Citation 1

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Options Data, High Frequency Data, Market Microstructure

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School
Downloads 383 (106,182)
Citation 3

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Efficient return, macroeconomic announcements, microstructure noise, informational volatility

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

Journal of Banking and Finance, Vol. 35, No. 10, 2011
Posted: 20 Nov 2011 Last Revised: 31 Mar 2012
Nikolaus Hautsch, Dieter Hess and David Veredas
University of Vienna - Department of Statistics and Operations Research, University of Cologne - Department of Corporate Finance and Vlerick Business School

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Efficient return, Macroeconomic announcements, Microstructure noise, Informational volatility

16.

Dynamic Latent Factor Models for Intensity Processes

CORE Discussion Paper No. 2003/103
Number of pages: 37 Posted: 14 Apr 2005
Luc Bauwens and Nikolaus Hautsch
Université catholique de Louvain and University of Vienna - Department of Statistics and Operations Research
Downloads 371 (110,872)
Citation 18

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Multivariate point process, latent factor, transaction durations, efficient importance sampling

17.

Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data

Number of pages: 29 Posted: 22 Aug 2011
Nikolaus Hautsch and Ruihong Huang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 370 (111,223)
Citation 10

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price impact, limit order, impulse response function, cointegration, optimal order size

18.

A Blocking and Regularization Approach to High Dimensional Realized Covariance Estimation

Journal of Applied Econometrics, Forthcoming
Number of pages: 30 Posted: 18 Oct 2009 Last Revised: 22 Aug 2010
Nikolaus Hautsch, Lada M. Kyj and Roel C. A. Oomen
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and Deutsche Bank AG (London)
Downloads 330 (126,238)
Citation 8

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covariance estimation, blocking, realized kernel, regularization, microstructure noise, asynchronous trading

19.

Discrete-Time Stochastic Volatility Models and MCMC-Based Statistical Inference

Number of pages: 25 Posted: 01 Nov 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 326 (127,854)
Citation 3

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Stochastic Volatility, Markov Chain Monte Carlo, Metropolis-Hastings algorithm, Jump Processes

Volatility Estimation on the Basis of Price Intensities

Number of pages: 41 Posted: 15 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 324 (127,957)

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

Volatility Estimation on the Basis of Price Intensities

Posted: 19 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank

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High-frequency data, price durations, proportional hazard model, intraday and time-to-maturity seasonalities

21.

The Latent Factor VAR Model: Testing for a Common Component in the Intraday Trading Process

University of Copenhagen Working Paper No. 2005/03
Number of pages: 37 Posted: 14 Jun 2005
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 323 (129,106)

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Observation vs. parameter driven dynamics, mixture-of-distribution hypothesis, VAR model

22.

Yield Curve Factors, Factor Volatilities, and the Predictability of Bond Excess Returns

Number of pages: 44 Posted: 26 Mar 2008 Last Revised: 30 Oct 2008
Nikolaus Hautsch and Yangguoyi Ou
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - School of Business and Economics
Downloads 294 (142,441)

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Term Structure Modelling; Yield Curve Risk; Stochastic Volatility; Factor Models; Macroeconomic Fundamentals

23.

The Merit of High-Frequency Data in Portfolio Allocation

Number of pages: 43 Posted: 12 Sep 2011
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 266 (157,716)
Citation 7

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spectral decomposition, mixing frequencies, factor model, blocked realized kernel, covariance prediction, portfolio optimization

24.

Does Hidden Liquidity Harm Price Efficiency?

Number of pages: 57 Posted: 04 Aug 2013 Last Revised: 30 Aug 2014
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 262 (160,167)
Citation 2

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Liquidity Coordination, Signalling, Pre-announcements, Hidden Liquidity, Limit Order Books, Liquidity Externalities

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

CFS Working Paper, No. 477
Number of pages: 56 Posted: 09 Oct 2014
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 160 (251,363)
Citation 16

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local method of moments, spot covariance, smoothing, intraday (co-)variation risk

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 03 Nov 2016
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 95 (369,782)
Citation 5

Abstract:

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local method of moments, spot covariance, smoothing, intraday (co-)variation risk

26.

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Number of pages: 16 Posted: 01 Nov 2008
Nikolaus Hautsch and Vahidin Jeleskovic
University of Vienna - Department of Statistics and Operations Research and affiliation not provided to SSRN
Downloads 252 (166,482)
Citation 2

Abstract:

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Multiplicative error models, volatility, liquidity, high-frequency data

27.

Building Trust Takes Time: Limits to Arbitrage in Blockchain-Based Markets

CFS Working Paper, No. 616, 2018
Number of pages: 55 Posted: 02 Jan 2019 Last Revised: 29 Jan 2021
Nikolaus Hautsch, Christoph Scheuch and Stefan Voigt
University of Vienna - Department of Statistics and Operations Research, wikifolio Financial Technologies AG and University of Copenhagen
Downloads 245 (171,028)
Citation 8

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Arbitrage, Blockchain, Market Frictions

28.

The Ambivalent Role of High-Frequency Trading in Turbulent Market Periods

CFS Working Paper, No. 580
Number of pages: 61 Posted: 23 Aug 2017 Last Revised: 28 Sep 2017
Nikolaus Hautsch, Michael Noé and S. Sarah Zhang
University of Vienna - Department of Statistics and Operations Research, Eurex Frankfurt AG - Derivatives Market Design and University of Manchester - Alliance Manchester Business School
Downloads 245 (171,028)
Citation 8

Abstract:

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High Frequency Trading, Market Making, News Releases, Futures Market, Brexit

29.

Financial Network Systemic Risk Contributions

Number of pages: 57 Posted: 26 Aug 2013
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 221 (188,596)
Citation 45

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systemic risk contribution, systemic risk network, Value at Risk, network topology, two-step quantile regression, time-varying parameters

30.

Systemic Risk Spillovers in the European Banking and Sovereign Network

CFS Working Paper, No. 467
Number of pages: 33 Posted: 04 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 215 (193,625)
Citation 5

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systemic risk contribution, tail dependence, network topology, sovereignbank linkages, Value-at-Risk

31.

Measuring and Modeling Risk Using High-Frequency Data

Number of pages: 23 Posted: 01 Nov 2008
Wolfgang K. Härdle, Nikolaus Hautsch and Uta Pigorsch
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and University of Mannheim
Downloads 213 (195,338)
Citation 2

Abstract:

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Realized Volatility, Realized Betas, Volatility Modeling

32.

Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?

Number of pages: 44 Posted: 05 Mar 2013
Nikolaus Hautsch, Lada M. Kyj and Peter Malec
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin and University of Cambridge - Faculty of Economics
Downloads 208 (199,685)
Citation 9

Abstract:

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portfolio optimization, spectral decomposition, regularization, blocked realized kernel, covariance prediction

33.

Semiparametric Autoregressive Conditional Proportional Hazard Models

Number of pages: 23 Posted: 08 Nov 2001
Nikolaus Hautsch and Frank Gerhard
University of Vienna - Department of Statistics and Operations Research and Barclays Investment Bank
Downloads 205 (202,412)
Citation 1

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autoregressive duration models, dynamic ordered response models, generalised residuals, censoring

A Dynamic Semiparametric Proportional Hazard Model

U of Copenhagen Finance Working Paper No. 2006/05
Number of pages: 34 Posted: 16 Nov 2006
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research
Downloads 204 (203,166)

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autoregressive duration models, dynamic ordered response models, generalized residuals, censoring

A Dynamic Semiparametric Proportional Hazard Model

Studies in Nonlinear Dynamics and Econometrics, Vol. 11, No. 2, 2007
Posted: 01 Nov 2008
Frank Gerhard and Nikolaus Hautsch
Barclays Investment Bank and University of Vienna - Department of Statistics and Operations Research

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure

35.

Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty

CFS Working Paper, No. 582, Journal of Econometrics, Vol. 212, No. 1, 2019
Number of pages: 62 Posted: 28 Sep 2017 Last Revised: 02 Feb 2022
Nikolaus Hautsch and Stefan Voigt
University of Vienna - Department of Statistics and Operations Research and University of Copenhagen
Downloads 187 (219,776)
Citation 6

Abstract:

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portfolio choice, transaction costs, model uncertainty, regularization, high frequency data

36.

Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes

Number of pages: 29 Posted: 12 Sep 2012
Taras Bodnar and Nikolaus Hautsch
Europa-Universitaet Viadrina and University of Vienna - Department of Statistics and Operations Research
Downloads 176 (231,507)
Citation 4

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multiplicative error model, trading processes, copula, DCC-GARCH, liquidity risk

37.

Estimating the Neighborhood Influence on Decision Makers: Theory and an Application on the Analysis of Innovation Decisions

Number of pages: 23 Posted: 08 Nov 2001
Nikolaus Hautsch and Stefan Klotz
University of Vienna - Department of Statistics and Operations Research and University of Konstanz - Department of Economics
Downloads 176 (231,507)
Citation 1

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decision models, discrete choice, spatial econometrics, social space, Euclidean measure

38.

Order Exposure and Liquidity Coordination: Does Hidden Liquidity Harm Price Efficiency?

CFS Working Paper, No. 468
Number of pages: 60 Posted: 04 Oct 2014
Gökhan Cebiroglu, Nikolaus Hautsch and Ulrich Horst
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 170 (238,403)

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liquidity externalities, order flow, trade signaling, limit order book

39.

Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

University of Copenhagen Discussion Paper
Number of pages: 36 Posted: 13 Dec 2006
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research
Downloads 169 (239,612)
Citation 14

Abstract:

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Augmented ACD models, semiparametric ACD models, news impact function, Lagrange multiplier tests, (integrated) conditional moment tests

40.

Predicting Bid-Ask Spreads Using Long Memory Autoregressive Conditional Poisson Models

Number of pages: 42 Posted: 15 Jul 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research
Downloads 157 (254,906)
Citation 2

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Bid-ask Spreads, Forecasting, High-Frequency Data, Stock Market Liquidity, Count Data Time Series, Long Memory Poisson Autoregression

41.

Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes

Number of pages: 36 Posted: 19 Nov 2010 Last Revised: 08 Aug 2012
Nikolaus Hautsch, Peter Malec and Melanie Schienle
University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin - School of Business and Economics
Downloads 137 (284,041)
Citation 11

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High-Frequency Data, Point-Mass Mixture, Multiplicative Error Model, Excess Zeros, Semiparametric Specification Test, Market Microstructure

42.

Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading

CFS Working Paper, WP No. 581
Number of pages: 29 Posted: 27 Sep 2017 Last Revised: 23 Jan 2021
Martin Gould, Nikolaus Hautsch, Sam Howison and Mason A. Porter
University of Oxford - Mathematical Institute, University of Vienna - Department of Statistics and Operations Research, University of Oxford and California Institute of Technology
Downloads 131 (293,807)
Citation 2

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Counterparty Credit Limits; Counterparty Credit Risk; Price Formation; Market Design; Foreign Exchange

43.

Multivariate Dynamic Intensity Peaks-Over-Threshold Models

CFS Working Paper No. 516
Number of pages: 43 Posted: 22 Sep 2015
Nikolaus Hautsch and Rodrigo Herrera
University of Vienna - Department of Statistics and Operations Research and University of Talca
Downloads 125 (304,376)

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Extreme value theory, Value-at-Risk, Expected shortfall, Self-exciting point process, Conditional intensity

44.

Forecasting Systemic Impact in Financial Networks

Number of pages: 28 Posted: 26 Aug 2013
University of Vienna - Department of Statistics and Operations Research, VU University AmsterdamTinbergen Institute and Humboldt University of Berlin - School of Business and Economics
Downloads 89 (382,104)
Citation 4

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forecasting systemic risk contributions, time-varying systemic risk network, model selection with regularization in quantiles

45.

Bayesian Inference in a Stochastic Volatility Nelson–Siegel Model

Computational Statistics & Data Analysis, Forthcoming
Number of pages: 19 Posted: 25 Aug 2010
Nikolaus Hautsch and Fuyu Yang
University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin
Downloads 89 (382,104)
Citation 2

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Term structure of interest rates, Stochastic volatility, Dynamic factor model, Markov chain Monte Carlo

46.

Modeling Time-Varying Dependencies Between Positive-Valued High-Frequency Time Series

SFB 649 Discussion Paper No. 2012-054
Number of pages: 16 Posted: 25 Aug 2013
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 69 (441,740)

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vector multiplicative error model, copula, time-varying copula, high-frequency data

47.

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Number of pages: 39 Posted: 26 Aug 2013
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 61 (470,035)
Citation 13

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adaptive estimation, asymptotic equivalence, asynchronous observations, integrated covolatility matrix, quadratic covariation, semiparametric efficiency, microstructure noise, spectral estimation

48.

Revisiting the Stealth Trading Hypothesis: Does Time-Varying Liquidity Explain the Size-Effect?

CFS Working Paper, No. 625, 2019
Number of pages: 58 Posted: 07 Sep 2019
Gökhan Cebiroglu, Nikolaus Hautsch and Christopher Walsh
University of Vienna, Faculty of Business and Economics, University of Vienna - Department of Statistics and Operations Research and TU Dortmund University
Downloads 60 (473,851)
Citation 2

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stealth trading, price impact, liquidity elasticity, limit order book

49.

Systemic Risk Spillovers in the European Banking and Sovereign Network

Number of pages: 30 Posted: 01 Oct 2014
European Union - European Investment Bank, University of Vienna - Department of Statistics and Operations Research, European Central Bank (ECB) and Karlsruhe Institute of Technology (KIT)
Downloads 54 (497,456)

Abstract:

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systemic risk contribution; tail dependence; network topology; sovereign-bank linkages; Value-at-Risk

50.

Efficient Iterative Maximum Likelihood Estimation of High-Parameterized Time Series Models

Number of pages: 32 Posted: 01 Oct 2014
Nikolaus Hautsch, Ostap Okhrin and Alexander Ristig
University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - School of Business and Economics and University of Vienna - Department of Statistics and Operations Research
Downloads 47 (532,090)
Citation 1

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Multi-Step estimation, Sparse estimation, Multivariate time series, Maximum likelihood estimation, Copula

51.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Wolfgang K. Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 40 (561,234)
Citation 8

Abstract:

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multiplicative error model, local adaptive modeling, high-frequency processes, trading volume, forecasting

52.

Modelling and Forecasting Liquidity Supply Using Semiparametric Factor Dynamics

CFS Working Paper, No. 2009/18
Number of pages: 35 Posted: 20 Sep 2009 Last Revised: 06 Jun 2016
Nikolaus Hautsch, Wolfgang K. Härdle and Andrija Mihoci
University of Vienna - Department of Statistics and Operations Research, Blockchain Research Center and Brandenburg University of Technology (BTU)
Downloads 37 (576,712)
Citation 6

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Limit Order Book, Liquidity Risk, Semiparametric Model, Factor Structure, Prediction

53.

HARNet: A Convolutional Neural Network for Realized Volatility Forecasting

Center for Financial Studies Working Paper no. 680, 2022
Number of pages: 25
Rafael Reisenhofer, Xandro Bayer and Nikolaus Hautsch
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Vienna - Department of Statistics and Operations Research
Downloads 6

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54.

How Effective are Trading Pauses?

Journal of Financial Economics (JFE), Vol. 131, No. 2, 2019
Posted: 09 Jul 2016 Last Revised: 26 Oct 2020
Nikolaus Hautsch and Akos Horvath
University of Vienna - Department of Statistics and Operations Research and Board of Governors of the Federal Reserve System

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trading pause, magnet effect, price discovery, volatility, liquidity

55.

When Machines Read the News: Using Automated Text Analytics to Quantify High Frequency News Impacts

Posted: 19 Jan 2010 Last Revised: 03 Mar 2011
Axel Groß-Klußmann and Nikolaus Hautsch
Humboldt Universität zu Berlin and University of Vienna - Department of Statistics and Operations Research

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firm-specific news, news sentiment, high-frequency data, volatility, liquidity, abnormal returns

56.

Modelling the Buy and Sell Intensity in a Limit Order Book Market

Journal of Financial Markets, Vol. 10, No. 3, 2007
Posted: 01 Nov 2008
Tony Hall and Nikolaus Hautsch
affiliation not provided to SSRN and University of Vienna - Department of Statistics and Operations Research

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buy and sell arrival process, order book information, market depth, bivariate autoregressive intensity model, net buy pressure

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

CRC Discussion Paper No. 649
Posted: 06 Aug 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

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Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Journal of Economic Dynamics and Control, Vol. 32, 2008
Posted: 01 Nov 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

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Multiplicative error model, common factor, efficient importance sampling, intra-day trading process

58.

Stochastic Conditional Intensity Processes

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 450-493, 2006
Posted: 29 Feb 2008
Nikolaus Hautsch and Luc Bauwens
University of Vienna - Department of Statistics and Operations Research and Université catholique de Louvain

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conditional intensity function, efficient importance sampling, multivariate point processes, parameter-driven and observation-driven models, price intensities

59.

Assessing the Risk of Liquidity Suppliers on the Basis of Excess Demand Intensities

Journal of Financial Econometrics, Vol. 1, pp. 189-215, 2003
Posted: 29 Feb 2008
Nikolaus Hautsch
University of Vienna - Department of Statistics and Operations Research

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60.

The Processing of Non-Anticipated Information in Financial Markets: Analyzing the Impact of Surprises in the Employment Report

Posted: 14 Jun 2005
Dieter Hess and Nikolaus Hautsch
University of Cologne - Department of Corporate Finance and University of Vienna - Department of Statistics and Operations Research

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Trading process, volatility, macroeconomic announcements, treasury bond futures, high-frequency data