Trading Information, Price Discreteness and Volatility Estimation-张志远 (上海财经大学)

主  题: Trading Information, Price Discreteness and Volatility Estimation 

内容简介: 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.

报告人: 张志远    副教授    博士

时  间: 2018-07-08    09:30 

地  点: 竞慧东楼302 

举办单位: 统计与数学学院  统计科学与大数据研究院 

责任编辑: 科研处