Local mispricing and microstructural noise:A parametric perspective

Autor: Torben G. Andersen, Gökhan Cebiroglu, Nikolaus Hautsch, Ilya Archakov

Publikováno v: Andersen, T G, Archakov, I, Cebiroglu, G & Hautsch, N 2022, ' Local mispricing and microstructural noise : A parametric perspective ', Journal of Econometrics, vol. 230, no. 2, pp. 510-534 . https://doi.org/10.1016/j.jeconom.2021.06.006

We extend the classic ”martingale-plus-noise” model for high-frequency returns to accommodate an error correction mechanism and endogenous pricing errors. It is motivated by (i) novel empirical evidence documenting that microstructure noise exhib

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::02a24a13e4ebe5249c87b3700c3963eb
https://pure.au.dk/portal/da/publications/local-mispricing-and-microstructural-noise(cabe6749-be23-4bf8-bc75-dbcaadbf7e14).html

A Descriptive Study of High-Frequency Trade and Quote Option Data

Autor: Sergey Nasekin, Ilya Archakov, Ingmar Nolte, Torben G. Andersen, Nikolaus Hautsch, Stephen Taylor, Viktor Todorov, Leon Eric Grund, Manh Cuong Pham, Yifan Li

Publikováno v: Andersen, T, Archakov, I, Grund, L, Hautsch, N, Li, Y, Nasekin, S, Nolte, I, Pham, M C, Taylor, S & Torodov, V 2021, ' A Descriptive Study of High-Frequency Trade and Quote Option Data ', Journal of Financial Econometrics, vol. 19, no. 1, pp. 128–177 . https://doi.org/10.1093/jjfinec/nbaa036

This paper provides a guide to high-frequency option trade and quote data disseminated by the Options Price Reporting Authority (OPRA). We present a comprehensive overview of the U.S. option market, including details on market regulation and the trad

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::820b1ee8718a94925f1d88846e0b0353
https://research.manchester.ac.uk/en/publications/9cba2b7c-28a9-491e-a014-a3ea33906f78

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Autor: Peter Reinhard Hansen, Ilya Archakov, Asger Lunde, Guillaume Horel

Publikováno v: The Fascination of Probability, Statistics and their Applications ISBN: 9783319258249
Hansen, P R, Horel, G, Lunde, A & Archakov, I 2016, A Markov Chain Estimator of Multivariate Volatility from High Frequency Data . in M Podolskij, R Stelzer, S Thorbjørnsen & D A E Veraart (eds), The Fascination of Probability, Statistics and their Applications : In Honour of Ole E. Barndorff-Nielsen . Springer, Cham, pp. 361-394 . https://doi.org/10.1007/978-3-319-25826-3_17

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimat

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c8bc98f5c6c07d0bc75699555afaaa35
https://doi.org/10.1007/978-3-319-25826-3_17