Microstructure Models with Short-Term Inertia and Stochastic Volatility
Author
Source
Mathematical Problems in Engineering
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-10-19
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
Partially observed microstructure models, containing stochastic volatility, dynamictrading noise, and short-term inertia, are introduced to address the following questions:(1) Do the observed prices exhibit statistically significant inertia? (2) Isstochastic volatility (SV) still evident in the presence of dynamical trading noise? (3)If stochastic volatility and trading noise are present, which SV model matches theobserved price data best? Bayes factor methods are used to answer these questionswith real data and this allows us to consider volatility models with very differentstructures.
Nonlinear filtering techniques are utilized to compute the Bayes factoron tick-by-tick data and to estimate the unknown parameters.
It is shown thatour price data sets all exhibit strong evidence of both inertia and Heston-typestochastic volatility.
American Psychological Association (APA)
Kouritzin, Michael A.. 2015. Microstructure Models with Short-Term Inertia and Stochastic Volatility. Mathematical Problems in Engineering،Vol. 2015, no. 2015, pp.1-17.
https://search.emarefa.net/detail/BIM-1073522
Modern Language Association (MLA)
Kouritzin, Michael A.. Microstructure Models with Short-Term Inertia and Stochastic Volatility. Mathematical Problems in Engineering No. 2015 (2015), pp.1-17.
https://search.emarefa.net/detail/BIM-1073522
American Medical Association (AMA)
Kouritzin, Michael A.. Microstructure Models with Short-Term Inertia and Stochastic Volatility. Mathematical Problems in Engineering. 2015. Vol. 2015, no. 2015, pp.1-17.
https://search.emarefa.net/detail/BIM-1073522
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1073522