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The Jump Risk of Leveraged ETFs and a High-Frequency Volatility Estimator

Liu, Qiyu - 2011

introduce a superior volatility estimator for high-frequency analysis. Leveraged ETFs, which attempt to reproduce two or three …-based subsampling and averaging high-frequency volatility estimator. Tracking error jumps are found to occur in one-fourth of trading …

Persistent link: https://www.econbiz.de/10013133819

Variable Jump Models in High Frequency Market Processes

Burton, Nathan - 2023

This paper proposes an alternative model to Brownian-type models for high frequency market price processes which is much closer to reality and thus more appropriate for use in process behavior and optimization research. The proposed model is a modified Poisson process

Persistent link: https://www.econbiz.de/10014349712

Applied Stochastic Control in High Frequency and Algorithmic Trading

Ricci, Jason - 2014

In this thesis, problems in the realm of high frequency trading and optimal market making are established and solved in both single asset and multiple asset economies. For an agent that is averse to holding large inventories for long periods of time, optimal high frequency trading strategies are...

Persistent link: https://www.econbiz.de/10013046433

High-frequency jump analysis of the bitcoin market

Scaillet, Olivier; Treccani, Adrien; Trevisan, Christopher - 2017

We use the database leak of Mt. Gox exchange to analyze the dynamics of the price of bitcoin from June 2011 to November 2013. This gives us a rare opportunity to study an emerging retail-focused, highly speculative and unregulated market with trader identifiers at a tick transaction level. Jumps...

Persistent link: https://www.econbiz.de/10011762219

Quantifying reflexivity in financial markets : towards a prediction of flash crashes

Filimonov, Vladimir; Sornette, Didier - 2012

We introduce a new measure of activity of financial markets that provides a direct access to their level of endogeneity. This measure quantifies how much of price changes are due to endogenous feedback processes, as opposed to exogenous news. For this, we calibrate the self-excited conditional...

Persistent link: https://www.econbiz.de/10009561617

Spot Variance Path Estimation and Its Application to High Frequency Jump Testing

Bos, Charles S. - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10013153285

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009

Persistent link: https://www.econbiz.de/10011379469

Implied Volatility Smirk in Lévy Markets

De Olivera, Federico - 2015

to study the implied volatility smirk in Lévy markets. The dumping factor depends on a parameter beta, this results in a … volatility curves. Our main result shows a particular monotonicity behavior of the implied volatility of skewed models around the …

Persistent link: https://www.econbiz.de/10013031076

The Small-Maturity Heston Forward Smile

Jacquier, Antoine (Jack) - 2015

In this paper we investigate the asymptotics of forward-start options and the forward implied volatility smile in the …

Persistent link: https://www.econbiz.de/10013035837

Enhanced Valuation of European Options Under Jump Processes and Innovative Characterization of Implied Volatility Smile

Dubrana, Ludovic - 2011

volatility and its curve resembles a smile, meaning that the introduction of jumps is quantified via a smile according to implied … volatility. In order to derive such an implied volatility smile, an iterative search procedure referred to as the Newton …-Raphson algorithm is proposed. Numerical experiments of both the in-house pricing formula and its implied volatility recursive algorithm …

Persistent link: https://www.econbiz.de/10013118115