Volatility estimation under one-sided errors with applications to limit order books

DOI10.1214/15-AAP1161MaRDI QIDQ350689zbMATH OpenOpenAlexFDO

Authors Markus Bibinger, Moritz Jirak, Markus Reiß

Publication date 9 December 2016

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1408.3768

zbMATH Keywords

limit order booksemimartingalePoisson point processhigh-frequency dataBrownian excursion areanonparametric minimax ratevolatility estimation

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Generalizations of martingales (60G48) Limit theorems in probability theory (60F99) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: For a semi-martingale $X_t$, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation $langleX,Xangl{e}_t$ is constructed based on observations in the vicinity of $X_t$. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory of Brownian excursion areas. We derive $n^{-1/3}$ as optimal convergence rate in a high-frequency framework with $n$ observations (in mean). We discuss a potential application for the estimation of the integrated squared volatility of an efficient price process $X_t$ from intra-day order book quotes.

Recommendations

• Estimation of the instantaneous volatility
• Efficient estimation of integrated volatility and related processes
• Determining the integrated volatility via limit order books with multiple records
• Optimal restricted quadratic estimator of integrated volatility
• Limit theorems for bipower variation of semimartingales

Cited in

(5)

• On the asymptotic structure of Brownian motions with a small lead-lag effect
• Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
• Probabilistic models and statistics for electronic financial markets in the digital age
• Irregular nonparametric autoregression
• Determining the integrated volatility via limit order books with multiple records

This page was built for publication: Volatility estimation under one-sided errors with applications to limit order books

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q350689)