LOMN (Limit order microstructure noise, Lower-bounded, one-sided microstructure noise)

Methods based on local minima of simulated best ask order quotes are provided for inference on a latent efficient semimartingale. The main focus is on jump detection.

Disclaimer: This collection of R-code (augmented by cpp-functions) serves the reproduction of the simulations presented in the manuscript "Jump detection in high-frequency order prices" written by Markus Bibinger, Nikolaus Hautsch and Alexander Ristig. The latter author prepared this collection of R-code. Without permission of the author, the code must not be re-distributed or used for commercial purposes.

Software: The code required for the reproduction of the simulations is (mainly) written in the R-language and delivered in form of scripts. The software recommended below is available under the license GPL-3. The results presented in the manuscript were computed in R under version 4.0.1 — 'See Things Now'. The following packages were used: Rcpp (version: 1.0.4.6) as well as RcppZiggurat (version: 0.1.5). Moreover, the provided cpp-based-functions 'rep_col', 'rep_row', 'row_min' and 'row_max' originate from the R package Rfast (version: 1.9.9), written by

Manos Papadakis, Michail Tsagris, Marios Dimitriadis, Stefanos Fafalios, Ioannis Tsamardinos, Matteo Fasiolo, Giorgos Borboudakis, John Burkardt, Changliang Zou, Kleanthi Lakiotaki and Christina Chatzipantsiou. (2020). Rfast: A Collection of Efficient and Extremely Fast R Functions. R package version 1.9.9. https://CRAN.R-project.org/package=Rfast

Instructions to reproduce the simulation studies: The simulation studies can be reproduced by running the corresponding scripts 'sim_global_test_one_only.R','sim_global_test_addnoise_mmn_vs_lomn.R', 'sim_global_test_roundnoise_mmn_vs_lomn.R' and 'sim_local.R'. These files in turn load the functions of the R-script 'sim_functions.R' and the cpp-script 'fct.cpp'. The results have to be summarizes by averaging, e.g., by colMeans().