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Determining the integrated volatility via limit order books with multiple records
YIQI LIU1; QIANG LIU1; ZHI LIU1,2; DENG DING1
2017-06-23
Source PublicationQuantitative Finance
ISSN1469-7688
Volume17Issue:11Pages:1697-1714
Abstract

The integrated volatility plays an important role in risk management and portfolio selection, the estimation methods regarding the quantity have been widely investigated, either under low-frequency data or high-frequency data, or a combination of both. In this paper, we propose a measure for the integrated volatility via limit order book data with possible presence of multiple records. The estimator is valid under mild conditions and it is easily implemented. The finite sample performance of the proposed estimator has been verified by simulation studies and we apply the method to some real high-frequency data-sets as well.

KeywordHigh-frequency Data Integrated Volatility Limit Order Books Microstructure Noise Multiple Records
DOI10.1080/14697688.2017.1307510
URLView the original
Indexed BySCI
Language英语
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectBusiness, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS IDWOS:000414176700005
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Cited Times [WOS]:0   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionUniversity of Macau
Personal research not belonging to the institution
Corresponding AuthorQIANG LIU
Affiliation1.Department of Mathematics,University of Macau,Macau SAR,China
2.UMacau Zhuhai Research Institute,Zhuhai,China
First Author AffilicationUniversity of Macau
Corresponding Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
YIQI LIU,QIANG LIU,ZHI LIU,et al. Determining the integrated volatility via limit order books with multiple records[J]. Quantitative Finance,2017,17(11):1697-1714.
APA YIQI LIU,QIANG LIU,ZHI LIU,&DENG DING.(2017).Determining the integrated volatility via limit order books with multiple records.Quantitative Finance,17(11),1697-1714.
MLA YIQI LIU,et al."Determining the integrated volatility via limit order books with multiple records".Quantitative Finance 17.11(2017):1697-1714.
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