Estimation Of Asset Volatility And Correlation Over Market Microstructure Noise In High Frequency Data
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Estimation Of Asset Volatility And Correlation Over Market Microstructure Noise In High Frequency Data
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Author : Roman Yevstihnyeyev
language : en
Publisher:
Release Date : 2015
Estimation Of Asset Volatility And Correlation Over Market Microstructure Noise In High Frequency Data written by Roman Yevstihnyeyev and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with categories.
Accurate measurement of asset return volatility and correlation is an important problem in financial econometrics. The presence of market microstructure noise in high-frequency data complicates such estimations. This study extends a prior application of a model-based volatility estimator with autocorrelated market microstructure noise to estimation of correlation. The model is applied to a high-frequency dataset including a stock and an index, and the results are compared to some existing models. This study supports previous findings that including an autocorrelation factor produces an estimator potentially less vulnerable to market microstructure noise, and finds that the same is true about the extended correlation estimator that is introduced here.
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise
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Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2010
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise written by Yacine Ait-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with categories.
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise
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Author : Yacine Aït-Sahalia
language : de
Publisher:
Release Date : 2005
Ultra High Frequency Volatility Estimation With Dependent Microstructure Noise written by Yacine Aït-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Assets (Accounting) categories.
We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for that purpose will work even when the noise exhibits time series dependence, analyze in that context a refinement of this approach based on multiple time scales, and compare empirically our different estimators to the standard realized volatility.
Handbook Of Modeling High Frequency Data In Finance
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Author : Frederi G. Viens
language : en
Publisher: John Wiley & Sons
Release Date : 2011-12-20
Handbook Of Modeling High Frequency Data In Finance written by Frederi G. Viens and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-12-20 with Business & Economics categories.
CUTTING-EDGE DEVELOPMENTS IN HIGH-FREQUENCY FINANCIAL ECONOMETRICS In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Modeling High-Frequency Data in Finance addresses the many theoretical and practical questions raised by the nature and intrinsic properties of this data. A one-stop compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics, and the modern financial business arena. Every chapter uses real-world examples to present new, original, and relevant topics that relate to newly evolving discoveries in high-frequency finance, such as: Designing new methodology to discover elasticity and plasticity of price evolution Constructing microstructure simulation models Calculation of option prices in the presence of jumps and transaction costs Using boosting for financial analysis and trading The handbook motivates practitioners to apply high-frequency finance to real-world situations by including exclusive topics such as risk measurement and management, UHF data, microstructure, dynamic multi-period optimization, mortgage data models, hybrid Monte Carlo, retirement, trading systems and forecasting, pricing, and boosting. The diverse topics and viewpoints presented in each chapter ensure that readers are supplied with a wide treatment of practical methods. Handbook of Modeling High-Frequency Data in Finance is an essential reference for academics and practitioners in finance, business, and econometrics who work with high-frequency data in their everyday work. It also serves as a supplement for risk management and high-frequency finance courses at the upper-undergraduate and graduate levels.
Econometric Analysis Of High Frequency Market Microstructure
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Author : Z. Merrick Li
language : en
Publisher:
Release Date : 2019
Econometric Analysis Of High Frequency Market Microstructure written by Z. Merrick Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
This thesis introduces new econometric tools to analyse high-frequency financial data emerged from high-frequency trading. The analysis is based on the consensus that asset prices at high-frequencies have a permanent component that reflects the fundamental value, and a transitory microstructure noise induced by market imperfection. While the classic economic theory predicts that the fundamental value follows a semimartingale, the microstructure noise, however, exhibits rich dynamics. Chapter 2 develops econometric tools to analyse the integrated volatility of the fundamental value and the dynamic properties of the microstructure noise in high-frequency data under dependent noise. Specifically, a finite sample analysis reveals the essential roles played by the finite sample bias in applications. A two-step approach is proposed accordingly to refine the finite sample performance. Chapter 3 introduces a simple and intuitive measure of the microstructure noise under a general nonparametric setting. The new econometric techniques provide two liquidity measures that gauge the instantaneous and average bid-ask spread with potentially autocorrelated order flows. While being flexible with respect to the autocorrelation structures, the new estimators only employ the transaction prices, thus do not require any knowledge of the order flows. Chapter 4 further extends the method introduced in Chapter 3 to the joint estimation of arbitrary finite moments of microstructure noise using high-frequency data, under a general setting that allows for irregular observation schemes and nonstationary, serially dependent noise.
High Frequency Financial Econometrics
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Author : Yacine Aït-Sahalia
language : en
Publisher: Princeton University Press
Release Date : 2014-07-21
High Frequency Financial Econometrics written by Yacine Aït-Sahalia and has been published by Princeton University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-21 with Business & Economics categories.
A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.
On The Correlation Structure Of Microstructure Noise A Financial Economic Approach
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Author : Francis X. Diebold
language : en
Publisher:
Release Date : 2010
On The Correlation Structure Of Microstructure Noise A Financial Economic Approach written by Francis X. Diebold and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Economics categories.
We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures regarding improved volatility estimation methods.
Increased Correlation Among Asset Classes
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Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2014
Increased Correlation Among Asset Classes written by Yacine Ait-Sahalia and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
We develop estimators and asymptotic theory to decompose the quadratic covariation between two assets into its continuous and jump components, in a manner that is robust to the presence of market microstructure noise. Using high frequency data on different assets classes, we find that the recent financial crisis led to an increase in both the quadratic variations of the assets and their correlations. However, we find little evidence to suggest a change between the relative contributions of the Brownian and jump components, as both comove. Co-jumps stem from surprising news announcements that occur primarily before the opening of the U.S. market, and are also accompanied by an increase in Brownian-driven correlations.
Essays In Volatility Estimation Based On High Frequency Data
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Author : Yucheng Sun
language : en
Publisher:
Release Date : 2017
Essays In Volatility Estimation Based On High Frequency Data written by Yucheng Sun and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Based on high-frequency price data, this thesis focuses on estimating the realized covariance and the integrated volatility of asset prices, and applying volatility estimation to price jump detection. The first chapter uses the LASSO procedure to regularize some estimators of high dimensional realized covariance matrices. We establish theoretical properties of the regularized estimators that show its estimation precision and the probability that they correctly reveal the network structure of the assets. The second chapter proposes a novel estimator of the integrated volatility which is the quadratic variation of the continuous part in the price process. This estimator is obtained by truncating the two-scales realized variance estimator. We show its consistency in the presence of market microstructure noise and finite or infinite activity jumps in the price process. The third chapter employs this estimator to design a test to explore the existence of price jumps with noisy price data.
Fourier Malliavin Volatility Estimation
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Author : Maria Elvira Mancino
language : en
Publisher: Springer
Release Date : 2017-03-01
Fourier Malliavin Volatility Estimation written by Maria Elvira Mancino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-01 with Mathematics categories.
This volume is a user-friendly presentation of the main theoretical properties of the Fourier-Malliavin volatility estimation, allowing the readers to experience the potential of the approach and its application in various financial settings. Readers are given examples and instruments to implement this methodology in various financial settings and applications of real-life data. A detailed bibliographic reference is included to permit an in-depth study.