An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices (Q2853373)
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scientific article; zbMATH DE number 6217600
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| English | An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices |
scientific article; zbMATH DE number 6217600 |
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21 October 2013
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range-based volatility estimation
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method of moments
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daily high, low, opening and closing process
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range of arithmetic Brownian motion
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algorithmic trading
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0.84575033
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0.83852595
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0.83304006
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0.83232784
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0.82784843
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0.8253258
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0.82482386
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An application of the method of moments to range-based volatility estimation using daily high, low, opening, and closing (HLOC) prices (English)
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The authors develop a volatility estimator based on the range of arithmetic Brownian motion and using the method of moments on the daily high, low, opening and closing prices. They show that in comparison to an existing drift-independent estimator, their estimator is more efficient for a smaller number of data points. An example illustrating how this estimator could be used in an algorithmic trading context is given.
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