Optimal Sampling for the Detection of Market Microstructure Noise

Kód výsledku v 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>

Výsledek na webu

—

DOI - Digital Object Identifier

—

Jazyk výsledku

angličtina

Název v původním jazyce

Optimal Sampling for the Detection of Market Microstructure Noise

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Optimal Sampling for the Detection of Market Microstructure Noise

Popis výsledku anglicky

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.

Druh

D - Stať ve sborníku

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

—

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2015

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

European Financial Systems 2015. Proceedings of the 12th International Scientific Conference

ISBN

9788021079625

ISSN

—

e-ISSN

—

Počet stran výsledku

7

Strana od-do

211-217

Název nakladatele

Masaryk University

Místo vydání

Brno

Místo konání akce

Brno

Datum konání akce

1. 1. 2015

Typ akce podle státní příslušnosti

CST - Celostátní akce

Kód UT WoS článku

000370679200029