Liquidity Based Estimation Of Spot Volatility Under Microstructure Noise
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Liquidity Based Estimation Of Spot Volatility Under Microstructure Noise
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Author : Oliver Grothe
language : en
Publisher:
Release Date : 2010
Liquidity Based Estimation Of Spot Volatility Under Microstructure Noise written by Oliver Grothe 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.
Recent literature on realized volatility suggests that the observed price process of an asset may be decomposed into two parts: the unobservable, efficient price process and microstructure noise. In this article we present a methodology to sequentially estimate spot volatility from noisy data by separating these components. We use different liquidity-based measures, traded volume and quoted spread, for the noise variance of single price observations. Nonlinear Kalman filters provide us with sequential estimates of the unobservable price process and its parameters. Our approach is implemented in a continuous-discrete state space model to cope with irregular trading frequencies.
Volatility Decomposition And Nonparametric Estimation Of Spot Volatility Of Models With Poisson Sampling Under Market Microstructure Noise
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Author : Sophon Tunyavetchakit
language : en
Publisher:
Release Date : 2016
Volatility Decomposition And Nonparametric Estimation Of Spot Volatility Of Models With Poisson Sampling Under Market Microstructure Noise written by Sophon Tunyavetchakit and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
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.
High Frequency Volatility Of Volatility Estimation Free From Spot Volatility Estimates
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Author : Simona Sanfelici
language : en
Publisher:
Release Date : 2015
High Frequency Volatility Of Volatility Estimation Free From Spot Volatility Estimates written by Simona Sanfelici 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.
We define a new consistent estimator of the integrated volatility of volatility based only on a pre-estimation of the Fourier coefficients of the volatility process. We investigate the finite sample properties of the estimator in the presence of noise contamination by computing the bias of the estimator due to noise and showing that it vanishes as the number of observations increases, under suitable assumptions. In both simulated and empirical studies, the performance of the Fourier estimator with high frequency data is investigated and it is shown that the proposed estimator of volatility of volatility is easily implementable, computationally stable and even robust to market microstructure noise.
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.
High Frequency Market Microstructure Noise Estimates And Liquidity Measures
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Author : Yacine Aït-Sahalia
language : en
Publisher:
Release Date : 2008
High Frequency Market Microstructure Noise Estimates And Liquidity Measures 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 2008 with Liquidity (Economics) categories.
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks, and in particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics have lower noise and noise-to-signal ratio measured from their high frequency returns. We then examine whether there exists a common, market-wide, factor in high frequency stock-level measurements of noise, and whether that factor is priced in asset returns.
Volatility Estimation In The Presence Of Rounding And Random Market Microstructure Noise
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Author : Yichu Li
language : en
Publisher:
Release Date : 2011
Volatility Estimation In The Presence Of Rounding And Random Market Microstructure Noise written by Yichu Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Capital market categories.
Microstructure Noise
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Author : Aristides Romero
language : en
Publisher:
Release Date : 2016
Microstructure Noise written by Aristides Romero and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
As a basic principle in statistics, a larger sample size is preferred whenever possible. Nonetheless, in the financial world, especially equities and currencies trading, including all available data poses great challenges due to the noise present in the volatility estimation. In his paper I examine the Two Time Scales Realized Volatility estimator by Zhang, Mykland, and Ait-Sahalia (2005b) and I find that it not only provides a more efficient estimator than a basic estimator of the integrated volatility of returns, but it also consistently estimates the microstructure noise present in the latent efficient return process. I find that by using this approach, it is possible to compare the efficiency of the prices of securities with lower transaction costs traded against those with higher transactions costs.
High Frequency Market Microstructure Noise Estimates And Liquidity Measures
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Author : Yacine Ait-Sahalia
language : en
Publisher:
Release Date : 2010
High Frequency Market Microstructure Noise Estimates And Liquidity Measures 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.
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstructure noise component. We then relate these statistical measurements of market microstructure noise to observable characteristics of the underlying stocks, and in particular to different financial measures of their liquidity. We find that more liquid stocks based on financial characteristics have lower noise and noise-to-signal ratio measured from their high frequency returns. We then examine whether there exists a common, market-wide, factor in high frequency stock-level measurements of noise, and whether that factor is priced in asset returns.