Volatility modeling and prediction: the role of price impact

DOI10.1080/14697688.2019.1636123MaRDI QIDQ5120732zbMATH OpenOpenAlexFDO

Authors Ying Jiang, Yi Cao, Xiaoquan Liu, Jia Zhai

Publication date 16 September 2020

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL http://eprints.nottingham.ac.uk/59571/1/Volatility%20modeling%20and%20prediction%20the%20role%20of%20price%20impact.pdf

zbMATH Keywords

Chinese stock marketmarket microstructurepanel vector autoregressionvolatility modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A bootstrap procedure for panel data sets with many cross-sectional units
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Continuous Auctions and Insider Trading
• Estimating Vector Autoregressions with Panel Data
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Generalized autoregressive conditional heteroscedasticity
• Impulse response analysis of cointegrated systems
• Information, trade and common knowledge
• Long memory in continuous-time stochastic volatility models
• Modeling and Forecasting Realized Volatility
• Order book approach to price impact
• Panel vector autoregressive models: a survey
• Price impact and bursts in liquidity provision
• Surprise volume and heteroskedasticity in equity market returns
• The benefits of bagging for forecast models of realized volatility
• The market impact of a limit order
• The price impact of order book events: market orders, limit orders and cancellations

Cited in

(9)

• The impact of information timeliness on the predictability of stock and futures returns: An application of vector models
• Component ACD model and its application in studying the price-related feedback effect in investor trading behaviors in Chinese stock market
• Predicting stock price movements: an ordered probit analysis on the Australian Securities Exchange
• Impacts on stock price through mixed distribution classified information GARCH model and its application
• The impact of options introduction on the volatility of the underlying equities: evidence from the Chinese stock markets
• Optimal solution of the liquidation problem under execution and price impact risks
• Modeling market impact and timing risk in volume time
• Impact of overnight information on MEM volatility prediction
• Is volatility the best predictor of market crashes?

Describes a project that uses

Uses Software

• pVAR
• Stata

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