主  題: Trading Information, Price Discreteness and Volatility Estimation 

內(nèi)容簡(jiǎn)介: This paper studies the problem of volatility estimation using high-frequency financial data under a general Roll (1984) type microstructure model where asset prices are partially observed with discreteness. The problem is challenging in that efficient prices are perturbed by both random microstructure noises and a nonlinear rounding effect. We establish the asymptotics of a rounding effect on the recovery of trading-information-based microstructure noises under a small error paradigm. Armed with these results, we find that a particle filter coupled with nonlinear least squares method can effectively remove biases caused by the mixed-type microstructure noises in volatility estimates. Simulation and empirical results demonstrate the superiority of our method over existing popular high-frequency volatility estimation methods under comparison.

報(bào)告人: 張志遠(yuǎn)    副教授    博士

時(shí)  間: 2018-07-08    09:30 

地  點(diǎn): 競(jìng)慧東樓302 

舉辦單位: 統(tǒng)計(jì)與數(shù)學(xué)學(xué)院  統(tǒng)計(jì)科學(xué)與大數(shù)據(jù)研究院