搜索结果: 1-15 共查到“High frequency”相关记录30条 . 查询时间(0.156 秒)
Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Arms Race Frequent Batch
2015/9/18
The high-frequency trading arms race is a symptom of flawed market design. Instead
of the continuous limit order book market design that is currently predominant, we argue
that financial...
We investigate the divergence between these results and find that a virtually all of
the difference can be explained by the higher level of temporal and spatial aggregation. Since
our baseline...
High-Frequency Asymptotics for Lipschitz-Killing Curvatures of Excursion Sets on the Sphere
High-Frequency Asymptotics Spherical Ran-dom Fields Gaussian Subordination Lipschitz-Killing Curvatures Minkowski Functionals Excursion Sets
2013/5/2
In this paper, we shall be concerned with geometric functionals and excursion probabilities for some nonlinear transforms evaluated on Fourier components of spherical random fields. In particular, we ...
High-Frequency Tail Index Estimation by Nearly Tight Frames
High-Frequency Tail Index Estimation Nearly Tight Frames
2013/4/27
This work develops the asymptotic properties (weak consistency and Gaussianity), in the high-frequency limit, of approximate maximum likelihood estimators for the spectral parameters of Gaussian and i...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
Scaling, stability and distribution of the high-frequency returns of the IBEX35 index
nancial time series high-frequency returns generalized hyperbolic distributions Levy-stable distributions scaling laws tail behaviour
2012/9/14
Abstract.In this paper we perform a statistical analysis of the high-frequency re-turns of theIbex35Madrid stock exchange index. We nd that its probability distri-bution seems to be stable over di er...
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
High-frequency market-making with inventory constraints and directional bets
Quantitative Finance high-frequency trading, market-making limit-order book inventory risk optimisation stochastic control Hamilton-Jacobi-Bellman PNL distribution.
2012/9/14
In this paper we extend the market-making models with inventory constraints of Avellaneda andStoikov (High-frequency trading in a limit-order book, Quantitative Finance Vol.8 No.3 2008) and Gueant, L...
Optimal High Frequency Trading in a Pro-Rata Microstructure with Predictive Information
Market making limit order book pro-rata microstructure inventory risk marked point process stochastic control
2012/6/4
We propose a framework to study optimal trading policies in a one-tick pro-rata limit order book, as typically arises in short-term interest rate futures contracts. The high-frequency trader has the c...
Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
Estimation for Lévy processes from high frequency data within a long time interval
Adaptive nonparametric estimation high frequency data L´ evy processes projection estimators power variation
2011/6/17
In this paper, we study nonparametric estimation of the L´evy
density for L´evy processes, with and without Brownian component.
For this, we consider n discrete time observations with st...
Uncovering Long Memory in High Frequency UK Futures
Long Memory APARCH High Frequency Futures
2011/3/31
Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper ...
Is high-frequency trading inducing changes in market microstructure and dynamics?
financial markets algorithmic trading self-similarity
2010/10/20
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent...
Empirical Limitations on High Frequency Trading Profitability
Empirical Limitations High Frequency Trading Profitability
2010/10/21
Addressing the ongoing examination of high-frequency trading practices in financial markets, we report the results of an extensive empirical study estimating the maximum possible profitability of the...