Roel C. A. Oomen

Deutsche Bank AG (London)

Winchester House

1 Great Winchester Street

London, EC2N 2DB

United Kingdom

Imperial College London - Department of Mathematics

South Kensington Campus

Imperial College

LONDON, SW7 2AZ

United Kingdom

  • Deutsche Bank AG (London)

  • Imperial College London - Department of Mathematics

SCHOLARLY PAPERS

32

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TOTAL CITATIONS
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Top 4,391

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245

Scholarly Papers (32)

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1.

What Every Investor Should Know About Commodities, Part I: Univariate Return Analysis

Alternative Investment Research Centre Working Paper No. 29, Cass Business School Research Paper
Number of pages: 35 Posted: 27 Jan 2006
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 5,670 (3,182)
Citation 29

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation

2.

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Downloads 4,499 ( 4,747)
Citation 38

What Every Investor Should Know About Commodities, Part Ii: Multivariate Return Analysis

Alternative Investment Research Centre Working Paper No. 33
Number of pages: 35 Posted: 14 Jun 2006 Last Revised: 20 Oct 2016
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)
Downloads 4,499 (4,667)
Citation 38

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

What Every Investor Should Know About Commodities Part II: Multivariate Return Analysis

Journal of Investment Management, Vol. 5, No. 3, Third Quarter 2007
Posted: 22 Oct 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

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Commodities, commodity futures, correlation, tail-dependence, SJC copula, inflation

3.

How to Time the Commodity Market

Journal of Derivatives & Hedge Funds, Vol. 16, No. 1, pp. 1-8, 2010, WBS Finance Group Research Paper No. 66
Number of pages: 16 Posted: 22 Jun 2006 Last Revised: 23 Dec 2019
Devraj Basu, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 3,953 (5,866)
Citation 3

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commodities, active asset management, return predictability, Commitment of Traders report

4.

Zero-Intelligence Realized Variance Estimation

Finance and Stochastics, Vol. 14, No. 2, pp. 249-283, 2010
Number of pages: 30 Posted: 15 Mar 2007 Last Revised: 15 Mar 2010
Jim Gatheral and Roel C. A. Oomen
CUNY Baruch College and Deutsche Bank AG (London)
Downloads 3,294 (7,910)
Citation 6

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5.

Hedging Derivatives Risks - a Simulation Study

Number of pages: 46 Posted: 20 Mar 2002
Roel C. A. Oomen and George J. Jiang
Deutsche Bank AG (London) and Washington State University
Downloads 2,323 (13,790)

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Derivatives Risks, Model Risk, Hedging Strategies, Hedging Performance, Simulation Study

6.

Pre-Hedging

Number of pages: 46 Posted: 05 Jul 2023 Last Revised: 21 Apr 2025
Johannes Muhle-Karbe and Roel C. A. Oomen
Imperial College London - Department of Mathematics and Deutsche Bank AG (London)
Downloads 2,311 (13,894)

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Pre-hedging, OTC markets, Request for Quotes, Dealer competition

7.

AI Driven Liquidity Provision in OTC Financial Markets

Number of pages: 60 Posted: 26 May 2022 Last Revised: 08 Jun 2022
Álvaro Cartea, Patrick Chang, Mateusz Mroczka and Roel C. A. Oomen
University of Oxford, University of Oxford - Oxford-Man Institute of Quantitative Finance, University of Oxford and Deutsche Bank AG (London)
Downloads 1,765 (21,340)
Citation 3

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8.

Price Signatures

Number of pages: 42 Posted: 15 May 2018 Last Revised: 24 Aug 2023
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 1,691 (22,771)
Citation 1

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9.

Using High Frequency Stock Market Index Data to Calculate, Model & Forecast Realized Return Variance

European Univ., Economics Discussion Paper No. 2001/6
Number of pages: 30 Posted: 01 May 2001
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 1,335 (32,460)
Citation 10

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High Frequency Data, Realized Volatility, Market Microstructure, Temporal Aggregation, Fractional Integration, GARCH

10.

The Drift Burst Hypothesis

Number of pages: 58 Posted: 24 Sep 2016 Last Revised: 08 Aug 2018
Kim Christensen, Roel C. A. Oomen and Roberto Renò
Aarhus University - CREATES, Deutsche Bank AG (London) and ESSEC Business School
Downloads 983 (50,481)
Citation 10

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flash crashes; gradual jumps; volatility bursts; liquidity; nonparametric statistics; microstructure noise

11.

Fact or Friction: Jumps at Ultra High Frequency

Journal of Financial Economics (2014), vol. 114 (3), pp. 576-599.
Number of pages: 44 Posted: 22 May 2011 Last Revised: 19 Jul 2016
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and Aarhus University - School of Business and Social Sciences
Downloads 967 (51,636)
Citation 65

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jump variation, high-frequency data, market microstructure noise, pre-averaging, realised variation, outliers

12.

Testing for Jumps When Asset Prices are Observed with Noise - A Swap Variance Approach

Journal of Econometrics, Vol. 144, No. 2, pp. 352-370, 2008
Number of pages: 41 Posted: 21 Nov 2005 Last Revised: 08 Jul 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 961 (52,087)
Citation 23

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swap variance, jumps, bi-power variation, market microstructure noise

13.

Hedging of Fixing Exposure

Number of pages: 41 Posted: 24 Apr 2024 Last Revised: 13 Dec 2024
Johannes Muhle-Karbe, Roel C. A. Oomen and Benjamin Weber
Imperial College London - Department of Mathematics, Deutsche Bank AG (London) and Carnegie Mellon University
Downloads 910 (56,134)

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14.

Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Journal of Econometrics, Vol. 160, No. 1, pp. 58-68, 2011
Number of pages: 25 Posted: 07 Jul 2006 Last Revised: 15 Dec 2010
Jim E. Griffin and Roel C. A. Oomen
University College London and Deutsche Bank AG (London)
Downloads 848 (61,893)
Citation 3

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realized covariance, optimal sampling, lead-lag correlations, bias correction

15.

When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation?

EFA 2006 Zurich Meetings Paper, Cass Business School Research Paper, Durham Business School Working Paper, WBS Finance Group Research Paper No. 54
Number of pages: 33 Posted: 08 Mar 2006
Devraj Basu, Chi-Hsiou Daniel Hung, Roel C. A. Oomen and Alexander Stremme
SKEMA Business School - Lille Campus, University of Glasgow - Adam Smith Business School, Deutsche Bank AG (London) and University of Warwick - Finance Group
Downloads 801 (66,753)
Citation 5

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Investor Sentiment, Dynamic Asset Allocation

16.

Statistical Models for High Frequency Security Prices

Number of pages: 44 Posted: 23 Jul 2003
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 727 (75,911)
Citation 6

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compound poisson process, high frequency data, market microstructure, characteristic function, OU process, realized variance bias, optimal sampling

17.

Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?

Econometric Reviews, Vol. 27, No. 1, pp. 230-253, 2008
Number of pages: 28 Posted: 06 Jun 2006 Last Revised: 08 Jul 2008
Jim E. Griffin and Roel C. A. Oomen
University College London and Deutsche Bank AG (London)
Downloads 559 (105,959)
Citation 4

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realized variance, tick time, transaction time, pure jump process, market microstructure noise, optimal sampling

18.

A comparison of FX fixing methodologies

Number of pages: 22 Posted: 12 Jun 2024
Roel C. A. Oomen and Johannes Muhle-Karbe
Deutsche Bank AG (London) and Imperial College London - Department of Mathematics
Downloads 528 (113,897)

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19.

Properties of Realized Variance Under Alternative Sampling Schemes

Journal of Business and Economic Statistics, Vol. 24, No. 2, pp. 219-237, 2006
Number of pages: 36 Posted: 06 Dec 2005 Last Revised: 15 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 472 (130,379)
Citation 1

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high frequency data, market microstructure noise, pure jump process, optimal sampling

20.

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Downloads 422 (141,131)
Citation 1

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 1-30, 2007
Number of pages: 39 Posted: 19 Sep 2006 Last Revised: 15 Feb 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)
Downloads 422 (147,337)
Citation 1

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High Frequency Data

Posted: 18 Aug 2006 Last Revised: 27 Feb 2013
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, latent state variables, unbiased minimum-variance estimator, generalized method of moments, high frequency data

Estimating Latent Variables and Jump Diffusion Models Using High-Frequency Data

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 1-30, 2007
Posted: 16 Jun 2008
George J. Jiang and Roel C. A. Oomen
Washington State University and Deutsche Bank AG (London)

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affine jump diffusion, generalized method of moments, high-frequency data, latent state variables, unbiased minimum-variance estimator

21.

High Dimensional Covariance Forecasting for Short Intra-Day Horizons

Quantitative Finance, Vol. 10, No. 10, pp. 1173-1185, 2010
Number of pages: 22 Posted: 10 May 2009 Last Revised: 29 Oct 2010
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 390 (162,792)

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22.

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 388 (164,198)
Citation 8

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

23.

Realised Quantile-Based Estimation of the Integrated Variance

Journal of Econometrics, Vol 159, No. 1, pp. 74-98, 2010
Number of pages: 54 Posted: 21 Jan 2008 Last Revised: 29 Oct 2010
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 363 (176,352)
Citation 1

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Finite activity jumps, Integrated variance, Market micro-structure noise, Order statistics, Realised variance

24.

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

ERIM Report Series Reference No. ERS-2012-017-F&A
Number of pages: 45 Posted: 24 Oct 2012
Karim Bannouh, Martin Martens, Roel C. A. Oomen and Dick J. C. van Dijk
NN Investment Partners, Robeco Institutional Asset Management, Deutsche Bank AG (London) and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 319 (202,822)
Citation 1

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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading

25.

Appendix to Fact or Friction: Jumps at Ultra High Frequency

Number of pages: 38 Posted: 20 Nov 2012 Last Revised: 29 Jan 2013
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 232 (281,282)
Citation 1

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26.

Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Downloads 129 (471,094)
Citation 2

Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 555-577, 2005
Number of pages: 22 Posted: 17 Aug 2005 Last Revised: 15 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)
Downloads 129 (472,757)
Citation 2

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realized variance, market microstructure noise, bias correction, pure jump process, diffusion limit, optimal sampling

Properties of Bias-Corrected Realized Variance Under Alternative Sampling Schemes

Journal of Financial Econometrics, Vol. 3, No. 4, pp. 555-577, 2005
Posted: 29 Feb 2008
Roel C. A. Oomen
Deutsche Bank AG (London)

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bias correction, diffusion limit, market microstructure noise, optimal sampling, pure jump process, realized variance

27.

Appendix to Realised Quantile-Based Estimation of the Integrated Variance

Number of pages: 10 Posted: 09 May 2009 Last Revised: 30 Sep 2009
Kim Christensen, Roel C. A. Oomen and Mark Podolskij
Aarhus University - CREATES, Deutsche Bank AG (London) and University of Heidelberg - Institute of Applied Mathematics
Downloads 103 (558,806)
Citation 15

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28.

Appendix to Covariance Measurement in the Presence of Non-Synchronous Trading and Market Microstructure Noise

Number of pages: 17 Posted: 26 Jul 2009 Last Revised: 27 Jul 2009
Jim E. Griffin and Roel C. A. Oomen
University College London and Deutsche Bank AG (London)
Downloads 102 (562,769)
Citation 9

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29.

Internalisation by Electronic FX Spot Dealers

Quantitative Finance (2017)
Posted: 28 Nov 2017 Last Revised: 12 Oct 2024
Maximilian Butz and Roel C. A. Oomen
Deutsche Bank AG (London) and Deutsche Bank AG (London)

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30.

Last Look

Quantitative Finance, 2017, 17 (7), pp 1057-1070
Posted: 16 Nov 2016 Last Revised: 26 Nov 2017
Roel C. A. Oomen
Deutsche Bank AG (London)

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31.

Execution in an Aggregator

Quantitative Finance, 2017, 17(3), pp 383-404
Posted: 12 Sep 2016 Last Revised: 26 Nov 2017
Roel C. A. Oomen
Deutsche Bank AG (London)

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Aggregation, Liquidity Access, Transaction Costs, Adverse Selection, Prisoner's Dilemma, Market Impact

32.

What Every Investor Should Know About Commodities, Part I

Journal of Investment Management, Vol. 5, No. 1, First Quarter 2007
Posted: 28 Mar 2007
Harry M. Kat and Roel C. A. Oomen
Independent and Deutsche Bank AG (London)

Abstract:

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Commodities, commodity futures, risk premium, volatility, skewness, kurtosis, autocorrelation