Essays on High-frequency Financial Data Analysis
Author | : Yingjie Dong |
Publisher | : |
Total Pages | : 137 |
Release | : 2015 |
ISBN-10 | : OCLC:1104667867 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Essays on High-frequency Financial Data Analysis written by Yingjie Dong and published by . This book was released on 2015 with total page 137 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday volatility estimation, the Business Time Sampling (BTS) scheme and the estimation of market microstructure noise using NYSE tick-by-tick transaction data. Chapter 2 studies two methods of adjusting for intraday periodicity of highfrequency financial data: the well-known Duration Adjustment (DA) method and the recently proposed Time Transformation (TT) method (Wu (2012)). I examine the effects of these adjustments on the estimation of intraday volatility using the Autoregressive Conditional Duration-Integrated Conditional Variance (ACD-ICV) method of Tse and Yang (2012). I find that daily volatility estimates are not sensitive to intraday periodicity adjustment. However, intraday volatility is found to have a weaker U-shaped volatility smile and a biased trough if intraday periodicity adjustment is not applied. In addition, adjustment taking account of trades with zero duration (multiple trades at the same time stamp) results in deeper intraday volatility smile..."--Author's abstract.