Four Essays on the Econometric Analysis of High-frequency Order Data PDF Download

Author: Ruihong Huang
Publisher:
ISBN:
Category :
Languages : en
Pages : 130

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Author: Roel C. A. Oomen
Publisher:
ISBN:
Category : Macroeconomics
Languages : en
Pages : 101

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Author: Nikolaus Hautsch
Publisher: Springer Science & Business Media
ISBN: 364221925X
Category : Business & Economics
Languages : en
Pages : 381

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Book Description
The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Author: Peter Malec
Publisher:
ISBN:
Category :
Languages : en
Pages : 126

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Author: Ingmar Nolte
Publisher: Routledge
ISBN: 1317570774
Category : Business & Economics
Languages : en
Pages : 325

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Book Description
This book brings together the latest research in the areas of market microstructure and high-frequency finance along with new econometric methods to address critical practical issues in these areas of research. Thirteen chapters, each of which makes a valuable and significant contribution to the existing literature have been brought together, spanning a wide range of topics including information asymmetry and the information content in limit order books, high-frequency return distribution models, multivariate volatility forecasting, analysis of individual trading behaviour, the analysis of liquidity, price discovery across markets, market microstructure models and the information content of order flow. These issues are central both to the rapidly expanding practice of high frequency trading in financial markets and to the further development of the academic literature in this area. The volume will therefore be of immediate interest to practitioners and academics. This book was originally published as a special issue of European Journal of Finance.

Author: Roberto S. Mariano
Publisher: World Scientific
ISBN: 9812778969
Category : Business & Economics
Languages : en
Pages : 200

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Book Description
This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research. Sample Chapter(s). Foreword (32 KB). Chapter 1: Forecast Uncertainty, Its Representation and Evaluation* (97 KB). Contents: Forecasting Uncertainty, Its Representation and Evaluation (K F Wallis); The University of Pennsylvania Models for High-Frequency Macroeconomic Modeling (L R Klein & S Ozmucur); Forecasting Seasonal Time Series (P H Franses); Car and Affine Processes (C Gourieroux); Multivariate Time Series Analysis and Forecasting (M Deistler). Readership: Professionals and researchers in econometric forecasting and financial data analysis.

Author: Ilya Archakov
Publisher:
ISBN:
Category :
Languages : en
Pages : 173

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Book Description
In the first chapter, co-authored with Peter Hansen and Asger Lunde, we suggest a novel approach to modeling and measuring systematic risk in equity markets. We develop a new modeling framework that treats an asset return as a dependent variable in a multiple regression model. The GARCH-type dynamics of conditional variances and correlations between the regression variables naturally imply a temporal variation of regression coefficients (betas). The model incorporates extra information from the realized (co-)variance measures extracted from high frequency data, which helps to better identify the latent covariance process and capture its changes more promptly. The suggested structure is consistent with the broad class of linear factor models in the asset pricing literature. We apply our framework to the famous three-factor Fama-French model at the daily frequency. Throughout the empirical analysis, we consider more than 800 individual stocks as well as style and sectoral exchange traded funds from the U.S. equity market. We document an appreciable cross-sectional and temporal variation of the model-implied risk loadings with the especially strong (though short-lived) distortion around the Financial Crisis episode. In addition, we find a significant heterogeneity in a relative explanatory power of the Fama-French factors across the different sectors of economy and detect a fluctuation of the risk premia estimates over time. The empirical evidence emphasizes the importance of taking into account dynamic aspects of the underlying covariance structure in asset pricing models. In the second chapter, written with Bo Laursen, we extend the popular dynamic Nelson-Siegel framework by introducing time-varying volatilities in the factor dynamics and incorporating the realized measures to improve the identification of the latent volatility state. The new model is able to effectively describe the conditional distribution dynamics of a term structure variable and can still be readily estimated with the Kalman filter. We apply our framework to model the crude oil futures prices. Using more than 150,000,000 transactions for the large panel of contracts we carefully construct the realized volatility measures corresponding to the latent Nelson-Siegel factors, estimate the model at daily frequency and evaluate it by forecasting the conditional density of futures prices. We document that the time-varying volatility specification suggested in our model strongly outperforms the constant volatility benchmark. In addition, the use of realized measures provides moderate, but systematic gains in density forecasting. In the third chapter, I investigate the rate at which information about the daily asset volatility level arrives with the transaction data in the course of the trading day. The contribution of this analysis is three-fold. First, I gauge how fast (after the market opening) the reasonable projection of the new daily volatility level can be constructed. Second, the framework provides a natural experimental field for the comparison of the small sample properties of different types of estimators as well as their (very) short-run forecasting capability. Finally, I outline an adaptive modeling framework for volatility dynamics that attaches time-varying weights to the different predictive signals in response to the changing stochastic environment. In the empirical analysis, I consider a sample of assets from the Dow Jones index. I find that the average precision of the ex-post daily volatility projections made after only 15 minutes of trading (at 9:45a.m. EST) amounts to 65% (in terms of predictive R2) and reaches up to 90% before noon. Moreover, in conjunction with the prior forecast, the first 15 minutes of trading are able to predict about 80% of the ex-post daily volatility. I document that the predictive content of the realized measures that use data at the transaction frequency is strongly superior as compared to the estimators that use sparsely sampled data, but the difference is getting negligible closer to the end of the trading day, as more observations are used to construct a projection. In the final chapter, joint with Peter Hansen, Guillaume Horel and Asger Lunde, we introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns and suggests a natural decomposition of the observed price process into a martingale and a stationary components. The new estimator is robust to microstructural noise effects and is positive semidefinite by construction. We outline an approach to the estimation of high dimensional covariance matrices. This approach overcomes the curse of dimensionality caused by the tremendous number of observed price transitions (normally, exceeding 10,000 per trading day) that complicates a reliable estimation of the transition probability matrix for the multivariate Markov chain process. We study the finite sample properties of the estimator in a simulation study and apply it to high-frequency commodity prices. We find that the new estimator demonstrates a decent finite sample precision. The empirical estimates are largely in agreement with the benchmarks, but the Markov chain estimator is found to be particularly well with regards to estimating correlations.

Author:
Publisher:
ISBN: 9789036104357
Category :
Languages : en
Pages : 182

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"It has long been demonstrated that continuous-time methods are powerful tools in financial modeling. Yet only in recent years, their counterparts in empirical analysis-high frequency econometrics-began to emerge with the availability of intra-day data and relevant statistical tools. This dissertation contributes to the development of this emerging area in two directions. On the one hand, it develops new econometric tools to identify different types of interdependence structure among asset state processes. Chapter 2 examines the co-movement of asset price and its volatility, known as leverage effect. Different from previous work, this chapter allows price and volatility processes to have both continuous and discontinuous stochastic components that may contribute to the overall leverage effect. The second type is about the interdependence between price process and its jump intensity, known as self-excitation. Chapter 3 extends the definition of self-excitation in jumps accordingly, proposes statistical tests to detect its presence in a discretely observed path at high frequency, and derives the tests' asymptotic properties. On the other hand, Finance theory implies a set of constraints on the dynamics of an option price process and that of its underlying processes. Yet empirical option pricing models may either implicitly ignore some theoretical constraints or impose a possibly misspecified parametric structure on it. Chapter 4 fill this gap, by proposing a statistical procedure that utilizes information from the time series of the underlying processes to test the specification of a given option pricing model. "--Samenvatting auteur.

Author: Luc Bauwens
Publisher: Physica
ISBN: 9783790825404
Category : Business & Economics
Languages : en
Pages : 0

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Book Description
Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics. Coverage spans a diverse range of topics, including market microstructure, tick-by-tick data, bond and foreign exchange markets, and large dimensional volatility modeling. The volume is of interest to graduate students, researchers, and industry professionals.

Author: Kun Yang
Publisher:
ISBN:
Category : Electronic dissertations
Languages : en
Pages : 107

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