Lidan Grossmass

Heinrich Heine University Dusseldorf

Universitätsstrasse 1

Duesseldorf, DE NRW 40225

Germany

  • Heinrich Heine University Dusseldorf

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Ultra Short Tenor Yield Curves for High-Frequency Trading and Blockchain Settlement

Number of pages: 43 Posted: 04 Mar 2018
Anton Golub, Lidan Grossmass and Ser-Huang Poon
Flov technologies, Heinrich Heine University Dusseldorf and Alliance Manchester Business School, University of Manchester
Downloads 159 (258,100)
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Blockchain, Intraday Yield Curve, Flash Crash, Duration, Time Deformation

2.

Obtaining and Predicting the Bounds of Realized Correlations

Number of pages: 45 Posted: 10 May 2013
Lidan Grossmass
Heinrich Heine University Dusseldorf
Downloads 39 (578,431)

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high frequency data, realized covariance, partial identification, bounds