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統計数学セミナー
過去の記録 ～04/16｜次回の予定｜今後の予定 04/17～
| 担当者 | 吉田朋広、荻原哲平、小池祐太 |
|---|---|
| セミナーURL | http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/ |
| 目的 | 確率統計学およびその関連領域に関する研究発表, 研究紹介を行う. |
2014年05月13日(火)
13:00-14:10 数理科学研究科棟(駒場) 052号室
Selma Chaker 氏 (Bank of Canada)
On High Frequency Estimation of the Frictionless Price: The Use of Observed Liquidity Variables (ENGLISH)
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/01.html
Selma Chaker 氏 (Bank of Canada)
On High Frequency Estimation of the Frictionless Price: The Use of Observed Liquidity Variables (ENGLISH)
[ 講演概要 ]
Observed high-frequency prices are always contaminated with liquidity costs or market microstructure noise. Inspired by the market microstructure literature, I explicitly model this noise and remove it from observed prices to obtain an estimate of the frictionless price. I then formally test whether the prices adjusted for the estimated liquidity costs are either totally or partially free from noise. If the liquidity costs are only partially removed, the residual noise is smaller and closer to an exogenous white noise than the original noise is. To illustrate my approach, I use the adjusted prices to improve volatility estimation in the presence of noise. If the noise is totally absorbed, I show that the sum of squared returns - which would be inconsistent for return variance when based on observed returns - becomes consistent when based on adjusted returns.
[ 参考URL ]Observed high-frequency prices are always contaminated with liquidity costs or market microstructure noise. Inspired by the market microstructure literature, I explicitly model this noise and remove it from observed prices to obtain an estimate of the frictionless price. I then formally test whether the prices adjusted for the estimated liquidity costs are either totally or partially free from noise. If the liquidity costs are only partially removed, the residual noise is smaller and closer to an exogenous white noise than the original noise is. To illustrate my approach, I use the adjusted prices to improve volatility estimation in the presence of noise. If the noise is totally absorbed, I show that the sum of squared returns - which would be inconsistent for return variance when based on observed returns - becomes consistent when based on adjusted returns.
http://www.sigmath.es.osaka-u.ac.jp/~kamatani/statseminar/2014/01.html
