Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for
  high-frequency volatility estimation and optimal execution   The estimation of the volatility with high-frequency data is plagued by the
presence of microstructure noise, which leads to biased measures. Alternative
estimators have been developed and tested either on specific structures of the
noise or by the speed of convergence to their asymptotic distributions.
Gatheral and Oomen (2010) proposed to use the Zero-Intelligence model of the
limit order book to test the finite-sample performance of several estimators of
the integrated variance. Building on this approach, in this paper we introduce
three main innovations: (i) we use as data-generating process the
Queue-Reactive model of the limit order book (Huang et al. (2015)), which -
compared to the Zero-Intelligence model - generates more realistic
microstructure dynamics, as shown here by using an Hausman test; (ii) we
consider not only estimators of the integrated volatility but also of the spot
volatility; (iii) we show the relevance of the estimator in the prediction of
the variance of the cost of a simulated VWAP execution. Overall we find that,
for the integrated volatility, the pre-averaging estimator optimizes the
estimation bias, while the unified and the alternation estimator lead to
optimal mean squared error values. Instead, in the case of the spot volatility,
the Fourier estimator yields the optimal accuracy, both in terms of bias and
mean squared error. The latter estimator leads also to the optimal prediction
of the cost variance of a VWAP execution.

15
The categories of this paper are: nucl-ex
0
The categories of this paper are: hep-ph
35
The categories of this paper are: mtrl-th
11
The categories of this paper are: hep-lat
32
The categories of this paper are: atom-ph
4
The categories of this paper are: cond-mat
36
The categories of this paper are: cmp-lg
14
The categories of this paper are: math-ph
3
The categories of this paper are: physics
27
The categories of this paper are: comp-gas
31
The categories of this paper are: ao-sci
18
The categories of this paper are: econ
5
The categories of this paper are: gr-qc
2
The categories of this paper are: math
19
The categories of this paper are: eess
37
The categories of this paper are: supr-con