Decimalization, Realized Volatility, and Market Microstructure Noise
نویسندگان
چکیده
منابع مشابه
On Market Microstructure Noise and Realized Volatility
The Hansen-Lunde (HL) research program is generally first-rate, displaying a rare blend of theoretical prowess and applied sense. The present paper is no exception. In a major theoretical advance, HL allow for correlation between microstructure (MS) noise and latent price. (I prefer “latent price” to terms such as “efficient price” or “true price,” which carry lots of excess baggage.) In a para...
متن کاملMicrostructure noise, realized volatility, and optimal sampling∗
Recorded prices are known to diverge from their “efficient” values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are computed over very small intervals to better indentify the underlying volatility over a period, the s...
متن کاملRealized Variance and Market Microstructure Noise
We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysi...
متن کاملComment on “ Realized variance and market microstructure noise
Exploring a possible correlation between the efficient price and the noise, as HL do, is an exciting and challenging task. By examining the volatility signature plots of trades and quotes, HL report that RV estimates based on quotes at very high frequency decrease. This is different from many earlier findings on volatility signature plots based on transaction prices. It is important to figure o...
متن کاملComment on “ An unbiased measure of realized variance ” and “ Realized variance and market microstructure noise ”
If efficient asset prices follow a semi-martingale and are perfectly observed, their quadratic variation can be measured accurately from the sum of a large number of squared returns sampled over very finely spaced intervals, i.e., realized variance (Andersen et al., 2003, and Barndorff-Nielsen and Shephard, 2002). With the emergence of high-frequency data, it seems that we should be able to ide...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1131265