An instantaneous market volatility estimation

Autor:	Danyliv, Oleh, Bland, Bruce
Rok vydání:	2019
Předmět:	Quantitative Finance - Trading and Market Microstructure 91G70
Druh dokumentu:	Working Paper
Popis:	Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cases we did not find significant violation of the invariant. The formula for the invariant was used for the volatility estimation, which we called the instantaneous volatility. Quantitative comparison showed that it reproduces realised volatility better than one-day-ahead GARCH(1,1) prediction. Because of the short-term prediction nature, the instantaneous volatility could be used by algo developers, volatility traders and other market professionals. Comment: 16 pages, 5 figures, 3 tables
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1908.02847 Zobrazit plný text záznamu View this record from Arxiv