A combined filtering approach to high‐frequency volatility estimation with mixed‐type microstructure noises

Tang Yinfen; Zhang Zhiyuan

摘要

Abstract >This paper introduces a solution that combines the Kalman and particle filters to the challenging problem of estimating integrated volatility using high‐frequency data where the underlying prices are perturbed by a mixture of random noise and price discreteness. An explanation is presented of how the proposed combined filtering approach is able to correct for bias due to this mixed‐type microstructure effect. Simulation and empirical studies on the tick‐by‐tick trade price data for four US stocks in the year 2009 show that our method has clear advantages over existing high‐frequency volatility estimation methods. </abstract> </span> <span class="z_kbtn z_kbtnclass hoverxs" style="display: none;">展开▼</span> </div> <div class="translation abstracttxt"> <span class="zhankaihshouqi fivelineshidden" id="abstract"> <span>机译：</span><Abstract Type =“Main”XML：Lang =“EN”XML：ID =“ASMB2352-ABS-ABS-0001”> <标题类型=“main”>抽象</ title> >本文介绍了一种解决方案，该解决方案将卡尔曼和粒子滤波器结合到利用高频数据估算综合波动性的具有挑战性问题，其中基本价格被随机噪声和价格离散的混合扰动。提出了一种解释，所提出的组合过滤方法能够由于这种混合型微结构效应而校正偏差。 2009年四个美国股票逐滴贸易价格数据的模拟和实证研究表明，我们的方法具有明显优于现有的高频波动率估算方法。</ p> </摘要> </span> <span class="z_kbtn z_kbtnclass hoverxs" style="display: none;">展开▼</span> </div> </div> <div class="record"> <h2 class="all_title" id="enpatent33" >著录项</h2> <ul> <li> <span class="lefttit">来源</span> <div style="width: 86%;vertical-align: text-top;display: inline-block;"> <a href='/journal-foreign-19344/'>《Applied stochastic models in business and industry》</a> <b style="margin: 0 2px;">|</b><span>2019年第3期</span><b style="margin: 0 2px;">|</b><span>共21页</span> </div> </li> <li> <div class="author"> <span class="lefttit">作者</span> <p id="fAuthorthree" class="threelineshidden zhankaihshouqi"> <a href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=Tang Yinfen&option=202" target="_blank" rel="nofollow">Tang Yinfen;</a> <a href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=Zhang Zhiyuan&option=202" target="_blank" rel="nofollow">Zhang Zhiyuan;</a> </p> <span class="z_kbtnclass z_kbtnclassall hoverxs" id="zkzz" style="display: none;">展开▼</span> </div> </li> <li> <div style="display: flex;"> <span class="lefttit">作者单位</span> <div style="position: relative;margin-left: 3px;max-width: 639px;"> <div class="threelineshidden zhankaihshouqi" id="fOrgthree"> <p>School of Statistics and ManagementShanghai University of Finance and EconomicsShanghai China;</p> <p>School of Statistics and ManagementShanghai University of Finance and EconomicsShanghai China;</p> </div> <span class="z_kbtnclass z_kbtnclassall hoverxs" id="zhdw" style="display: none;">展开▼</span> </div> </div> </li> <li > <span class="lefttit">收录信息</span> <span style="width: 86%;vertical-align: text-top;display: inline-block;"></span> </li> <li> <span class="lefttit">原文格式</span> <span>PDF</span> </li> <li> <span class="lefttit">正文语种</span> <span>eng</span> </li> <li> <span class="lefttit">中图分类</span> <span><a href="https://www.zhangqiaokeyan.com/clc/1147.html" title="应用数学">应用数学;</a></span> </li> <li class="antistop"> <span class="lefttit">关键词</span> <p style="width: 86%;vertical-align: text-top;"> <a style="color: #3E7FEB;" href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=combined filters&option=203" rel="nofollow">combined filters;</a> <a style="color: #3E7FEB;" href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=high‐frequency data&option=203" rel="nofollow">high‐frequency data;</a> <a style="color: #3E7FEB;" href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=integrated volatility&option=203" rel="nofollow">integrated volatility;</a> <a style="color: #3E7FEB;" href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=market microstructure noise&option=203" rel="nofollow">market microstructure noise;</a> <a style="color: #3E7FEB;" href="/search.html?doctypes=4_5_6_1-0_4-0_1_2_3_7_9&sertext=price discreteness&option=203" rel="nofollow">price discreteness;</a> </p> <div class="translation"> 机译：组合过滤器;高频数据;集成波动;市场微观结构噪声;价格离散; 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