Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment.
For financial assets whose best quotes almost always change by jumping by the market's price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump b...
| প্রধান লেখক: | |
|---|---|
| বিন্যাস: | Working paper |
| ভাষা: | English |
| প্রকাশিত: |
Department of Economics (University of Oxford)
2007
|
| _version_ | 1826260076254461952 |
|---|---|
| author | Large, J |
| author_facet | Large, J |
| author_sort | Large, J |
| collection | OXFORD |
| description | For financial assets whose best quotes almost always change by jumping by the market's price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump back to their just-previous price. It defines a simple property called "uncorrelated alternation", which under condi-tions implies that the estimator is consistent in an asymptotic limit theory, where jumps become very frequent and small. Feasible limit theory is developed, and in simulations works well. |
| first_indexed | 2024-03-06T18:59:53Z |
| format | Working paper |
| id | oxford-uuid:132b0f03-c33e-4065-884e-bb85c49e6af7 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:59:53Z |
| publishDate | 2007 |
| publisher | Department of Economics (University of Oxford) |
| record_format | dspace |
| spelling | oxford-uuid:132b0f03-c33e-4065-884e-bb85c49e6af72022-03-26T10:12:11ZEstimating Quadratic Variation When Quoted Prices Change by a Constant Increment.Working paperhttp://purl.org/coar/resource_type/c_8042uuid:132b0f03-c33e-4065-884e-bb85c49e6af7EnglishOxford University Research Archive - ValetDepartment of Economics (University of Oxford)2007Large, JFor financial assets whose best quotes almost always change by jumping by the market's price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump back to their just-previous price. It defines a simple property called "uncorrelated alternation", which under condi-tions implies that the estimator is consistent in an asymptotic limit theory, where jumps become very frequent and small. Feasible limit theory is developed, and in simulations works well. |
| spellingShingle | Large, J Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title_full | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title_fullStr | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title_full_unstemmed | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title_short | Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment. |
| title_sort | estimating quadratic variation when quoted prices change by a constant increment |
| work_keys_str_mv | AT largej estimatingquadraticvariationwhenquotedpriceschangebyaconstantincrement |