Search Results - subject:"tick data"

The impact of the leverage effect on the implied volatility smile : evidence for the German option market

Rathgeber, A. W.; Stadler, Johannes; Stöckl, S. - In: Review of derivatives research 24 (2021) 2, pp. 95-133

Persistent link: https://www.econbiz.de/10012549093

The impact of the leverage effect on the implied volatility smile: evidence for the German option market

Rathgeber, A. W.; Stadler, J.; Stöckl, S. - In: Review of Derivatives Research 24 (2020) 2, pp. 95-133

It is a widely known theoretical derivation, that the firm’s leverage is negatively related to volatility of stock returns, although the empirical evidence is still outstanding. To empirically evaluate the leverage we first complement previous simulation studies by deriving theoretical...

Persistent link: https://www.econbiz.de/10014503518

Indian stock market prediction using artificial neural networks on tick data

Selvamuthu, Dharmaraja; Kumar, Vineet; Mishra, Abhishek - In: Financial Innovation 5 (2019) 1, pp. 1-12

Regularization for stock market prediction based on tick data as well as 15-min data of an Indian company and their results compared …. Conclusion: All three algorithms provide an accuracy of 99.9% using tick data. The accuracy over 15-min dataset drops to 96 … of results obtained using tick data. …

Persistent link: https://www.econbiz.de/10012602812

Indian stock market prediction using artificial neural networks on tick data

Selvamuthu, Dharmaraja; Kumar, Vineet; Mishra, Abhishek - In: Financial innovation : FIN 5 (2019) 16, pp. 1-12

Persistent link: https://www.econbiz.de/10012266638

Portfolio management using realized covariances: Evidence from Brazil

Caldeira, João F.; Moura, Guilherme V.; Perlin, Marcelo S. - In: EconomiA 18 (2017) 3, pp. 328-343

It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...

Persistent link: https://www.econbiz.de/10011858494

Portfolio management using realized covariances : evidence from Brazil

Caldeira, João F.; Moura, Guilherme Valle; Perlin, … - In: Economia : revista da ANPEC 18 (2017) 3, pp. 328-343

Persistent link: https://www.econbiz.de/10011866468

Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures

Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014

The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...

Persistent link: https://www.econbiz.de/10010435903

Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures

Herrmann, Klaus; Teis, Stefan; Yu, Weijun - Wirtschafts- und Sozialwissenschaftliche Fakultät, … - 2014

Persistent link: https://www.econbiz.de/10011099957

ECB monetary policy surprises: identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - European Central Bank - 2014

monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day …

Persistent link: https://www.econbiz.de/10011067262

ECB monetary policy surprises: identification through cojumps in interest rates

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - 2014

monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day …

Persistent link: https://www.econbiz.de/10011605719