Aleksey Kolokolov

University of Manchester - Manchester Business School

Booth Street West

Manchester, M15 6PB

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS

587

CITATIONS

2

Scholarly Papers (6)

1.

Systemic Co-Jumps

SAFE Working Paper No. 149
Number of pages: 49 Posted: 15 Oct 2016
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 298 (100,952)
Citation 1

Abstract:

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Jumps, Return predictability, Systemic events, Variance Risk Premium

2.

Multi-Jumps

Number of pages: 63 Posted: 30 Aug 2014
Massimiliano Caporin, Aleksey Kolokolov and Roberto Renò
University of Padua - Department of Statistical Sciences, University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 114 (240,730)
Citation 1

Abstract:

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multi-jumps, co-jumps, price jumps, multivariate jumps, jumps testing

3.

Efficient Multipowers

Number of pages: 43 Posted: 08 Feb 2016
Aleksey Kolokolov and Roberto Renò
University of Manchester - Manchester Business School and University of Verona - Department of Economics
Downloads 67 (335,535)

Abstract:

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Efficiency, Volatility, Jumps, Quarticity, Multipower, Threshold

4.

High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 46 Posted: 04 Jun 2018 Last Revised: 26 Jan 2019
European Commission Joint Research Center - JRC-Ispra, European Commision, Aarhus University - CREATES, University of Manchester - Manchester Business School, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Verona - Department of Economics
Downloads 51 (383,028)
Citation 1

Abstract:

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flash crashes; high-frequency traders (HFTs); liquidity provision; market making.

5.

Statistical Inferences for Price Staleness

SAFE Working Paper No. 236
Number of pages: 60 Posted: 13 Nov 2018
Aleksey Kolokolov, Giulia Livieri and Davide Pirino
University of Manchester - Manchester Business School, Scuola Normale Superiore and Department of Economics and Finance, University of Rome "Tor Vergata"
Downloads 40 (422,319)

Abstract:

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staleness, idle time, liquidity, zero returns, stable convergence

6.

Estimating Jump Activity Using Multipower Variation

Number of pages: 37 Posted: 12 Jul 2018 Last Revised: 09 Nov 2018
Aleksey Kolokolov
University of Manchester - Manchester Business School
Downloads 17 (536,885)

Abstract:

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Jump Activity, Bitcoin, Jumps, Multipower Variation, High-Frequency Data