Optimal Sampling for the Detection of Market Microstructure Noise

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F15%3A00084078" target="_blank" >RIV/00216224:14560/15:00084078 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Optimal Sampling for the Detection of Market Microstructure Noise
Original language description
Volatility patterns and its dynamics are the core measures of risk in the financial theory. However, given the algorithmic nature of modern securities trading, frequently used parametric volatility models should be used with great caution when applied onhigh frequency data. Modelling volatility in high frequency data is fairly complex since such data contains a disruptive volatility component, which only occurs in this kind of data and is not observable in lower frequency data. This phenomenon is usually called market microstructure noise. It is mostly caused by bid ask bounce, so its presence is not so significant in assets with lower spreads. This paper focuses on the comparison of two approaches and simulations to identify market microstructure noise and derive optimal samples for measuring volatility. These tests are implemented on the high frequency trading data from the German Stock Exchange.
Czech name
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Czech description
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Publication year
2015
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2015. Proceedings of the 12th International Scientific Conference
ISBN
9788021079625
ISSN
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e-ISSN
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Number of pages
7
Pages from-to
211-217
Publisher name
Masaryk University
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2015
Type of event by nationality
CST - Celostátní akce
UT code for WoS article
000370679200029

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