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An Instantaneous Market Volatility Estimation
| Content Provider | Scilit |
|---|---|
| Author | Danyliv, Oleh Bland, Bruce |
| Copyright Year | 2019 |
| Description | Journal: SSRN Electronic Journal Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cases we did not find significant violation of the invariant. The formula for the invariant was used for the volatility estimation, which we called the instantaneous volatility. Quantitative comparison showed that it reproduces realised volatility better than one-day-ahead GARCH (1,1) prediction. Because of the short-term prediction nature, the instantaneous volatility could be used by algo developers, volatility traders and other market professionals. |
| Related Links | http://arxiv.org/pdf/1908.02847 https://papers.ssrn.com/sol3/Delivery.cfm?abstractid=3434093 |
| ISSN | 10914358 |
| e-ISSN | 15565068 |
| DOI | 10.2139/ssrn.3434093 |
| Journal | SSRN Electronic Journal |
| Language | English |
| Publisher | Elsevier BV |
| Publisher Date | 2019-08-07 |
| Access Restriction | Open |
| Subject Keyword | Journal: SSRN Electronic Journal Order Book Realised Volatility Market Invariant |
| Content Type | Text |
| Resource Type | Article |
| Subject | Public Health, Environmental and Occupational Health Psychiatry and Mental Health |
