Volatility Analysis For High Frequency Financial Data
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Volatility Analysis For High Frequency Financial Data
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Author : Xiaohua Zheng
language : en
Publisher:
Release Date : 2009
Volatility Analysis For High Frequency Financial Data written by Xiaohua Zheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Electronic dissertations categories.
Measuring and modeling financial volatility are key steps for derivative pricing and risk management. In financial markets, there are two kinds of data: low-frequency financial data and high-frequency financial data. Most research has been done based on low-frequency data. In this dissertation we focus on high-frequency data. In theory, the sum of squares of log returns sampled at high frequency estimates their variance. For log price data following a diffusion process without noise, the realized volatility converges to its quadratic variation. When log price data contain market microstructure noise, the realized volatility explodes as the sampling interval converges to 0. In this dissertation, we generalize the fundamental Ito isometry and analyze the speed with which stochastic processes approach to their quadratic variations. We determine the difference between realized volatility and quadratic variation under mean square constraints for Brownian motion and general case. We improve the estimation for quadratic variation. The estimators found by us converge to quadratic variation at a higher rate.
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.
Modelling And Forecasting High Frequency Financial Data
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Author : Stavros Degiannakis
language : en
Publisher: Springer
Release Date : 2016-04-29
Modelling And Forecasting High Frequency Financial Data written by Stavros Degiannakis and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-29 with Business & Economics categories.
The global financial crisis has reopened discussion surrounding the use of appropriate theoretical financial frameworks to reflect the current economic climate. There is a need for more sophisticated analytical concepts which take into account current quantitative changes and unprecedented turbulence in the financial markets. This book provides a comprehensive guide to the quantitative analysis of high frequency financial data in the light of current events and contemporary issues, using the latest empirical research and theory. It highlights and explains the shortcomings of theoretical frameworks and provides an explanation of high-frequency theory, emphasising ways in which to critically apply this knowledge within a financial context. Modelling and Forecasting High Frequency Financial Data combines traditional and updated theories and applies them to real-world financial market situations. It will be a valuable and accessible resource for anyone wishing to understand quantitative analysis and modelling in current financial markets.
Multi Scale Jump And Volatility Analysis For High Frequency Financial Data
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Author : Jianqing Fan
language : en
Publisher:
Release Date : 2007
Multi Scale Jump And Volatility Analysis For High Frequency Financial Data written by Jianqing Fan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
The wide availability of high-frequency data for many financial instruments stimulates a upsurge interest in statistical research on the estimation of volatility. Jump-diffusion processes observed with market microstructure noise are frequently used to model high-frequency financial data. Yet, existing methods are developed for either noisy data from a continuous diffusion price model or data from a jump-diffusion price model without noise. We propose methods to cope with both jumps in the price and market microstructure noise in the observed data. They allow us to estimate both integrated volatility and jump variation from the data sampled from jump-diffusion price processes, contaminated with the market microstructure noise. Our approach is to first remove jumps from the data and then apply a noise-resistent method to estimated the integrated volatility. The asymptotic analysis and the simulation study reveal that the proposed wavelet methods can successfully remove the jumps in the price processes and the integrated volatility can be estimated as well as the case with no presence of jumps in the price processes. In addition, they have outstanding statistical efficiency. The methods are illustrated by applications to two high-frequency exchange rate data sets.
An Introduction To High Frequency Finance
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Author : Ramazan Gençay
language : en
Publisher: Elsevier
Release Date : 2001-05-29
An Introduction To High Frequency Finance written by Ramazan Gençay and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-05-29 with Business & Economics categories.
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data. This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
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.
Handbook Of High Frequency Trading And Modeling In Finance
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Author : Ionut Florescu
language : en
Publisher: John Wiley & Sons
Release Date : 2016-04-05
Handbook Of High Frequency Trading And Modeling In Finance written by Ionut Florescu 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 2016-04-05 with Business & Economics categories.
Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: • Contributions by well-known experts within the academic, industrial, and regulatory fields • A well-structured outline on the various data analysis methodologies used to identify new trading opportunities • Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets • Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.
Econometrics Of Financial High Frequency Data
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Author : Nikolaus Hautsch
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-10-12
Econometrics Of Financial High Frequency Data written by Nikolaus Hautsch and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-12 with Business & Economics categories.
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.
Analysis Of Stochastic Volatility In High Frequency Financial Data
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Author :
language : en
Publisher:
Release Date : 2016
Analysis Of Stochastic Volatility In High Frequency Financial Data written by 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.
High Frequency Data And Volatility In Foreign Exchange Rates
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Author : Bin Zhou
language : en
Publisher: Forgotten Books
Release Date : 2015-06-02
High Frequency Data And Volatility In Foreign Exchange Rates written by Bin Zhou and has been published by Forgotten Books this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-06-02 with Mathematics categories.
Excerpt from High Frequency Data and Volatility, in Foreign Exchange Rates Exchange rates, like many other financial time series, display substantial heteroscedasticity. This poses obstacles in detecting trends and changes. Understanding volatility becomes extremely important in studying financial time series. Unfortunately, estimating volatility from low frequency data, such as daily, weekly, or monthly observations, is very difficult. The recent availability of ultra-high frequency observations, such as tick-by-tick data, to large financial institutions creates a new possibility for the analysis of volatile time series. This article uses tick-by-tick Deutsche Mark and US Dollar (DM/$) exchange rates to explore this new type of data. Unlike low frequency data, high frequency data have extremely high negative first order autocorrelation in their return. A model explaining the negative autocorrelation and volatility estimators using the high frequency data are proposed. Daily and hourly volatility of the DM/$ exchange rates are estimated and the behaviors of the volatility are discussed. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.