High Frequency Variability and Microstructure Bias

Sykulski, A.M., Olhede, S.C. and Pavliotis, G.A. (2008) High Frequency Variability and Microstructure Bias. At Inference and Estimation in Probabilistic Time-Series Models, Isaac Newton Institute for Mathematical Sciences, Cambridge., UK, 18 - 20 Jun 2008. , 90-97.


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This paper treats the multiscale estimation of the integrated volatility of an Ito process immersed in high-frequency correlated noise. The multiscale structure of the problem is modelled explicitly, and the multiscale ratio is used to quantify energy contributions from the noise, estimated using the Whittle likelihood. This problem becomes more complex as we allow the noise structure greater flexibility, and multiscale properties of the estimation are discussed via a simulation study.

Item Type: Conference or Workshop Item (Speech)
Additional Information: Event Dates: 18th-20th June 2008
Divisions : Faculty of Physical Sciences and Engineering > Electronics and Computer Science
ePrint ID: 268757
Accepted Date and Publication Date:
29 May 2008Accepted
Date Deposited: 18 Mar 2010 16:38
Last Modified: 31 Mar 2016 14:17
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/268757

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