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2014-09-26Diskussionspapier DOI: 10.18452/4541
Improved volatility estimation based on limit order books
dc.contributor.authorBibinger, Markus
dc.contributor.authorJirak, Moritz
dc.contributor.authorReiss, Markus
dc.date.accessioned2017-06-16T01:06:52Z
dc.date.available2017-06-16T01:06:52Z
dc.date.created2014-12-04
dc.date.issued2014-09-26
dc.date.submitted2014-09-26
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5193
dc.description.abstractFor a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation hX;Xit is con- structed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory of Brownian excursion ar- eas. A major application is the estimation of the integrated squared volatility of an efficient price process Xt from intra-day order book quotes. We derive n????1=3 as optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in mean). This considerably improves upon the classi- cal n????1=4-rate obtained from transaction prices under microstructure noise.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjecthigh-frequency dataeng
dc.subjectlimit order bookeng
dc.subjectintegrated volatilityeng
dc.subjectBrownian excursion areaeng
dc.subjectFeynman{Kaceng
dc.subjectPoisson point processeng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleImproved volatility estimation based on limit order books
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100222035
dc.identifier.doihttp://dx.doi.org/10.18452/4541
local.edoc.pages35
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2014
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2014,53

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