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Determining the integrated volatility via limit order books with multiple records

Author

Listed:
  • Yiqi Liu
  • Qiang Liu
  • Zhi Liu
  • Deng Ding

Abstract

The integrated volatility plays an important role in risk management and portfolio selection, the estimation methods regarding the quantity have been widely investigated, either under low-frequency data or high-frequency data, or a combination of both. In this paper, we propose a measure for the integrated volatility via limit order book data with possible presence of multiple records. The estimator is valid under mild conditions and it is easily implemented. The finite sample performance of the proposed estimator has been verified by simulation studies and we apply the method to some real high-frequency data-sets as well.

Suggested Citation

  • Yiqi Liu & Qiang Liu & Zhi Liu & Deng Ding, 2017. "Determining the integrated volatility via limit order books with multiple records," Quantitative Finance, Taylor & Francis Journals, vol. 17(11), pages 1697-1714, November.
    • Handle: RePEc:taf:quantf:v:17:y:2017:i:11:p:1697-1714
    DOI: 10.1080/14697688.2017.1307510
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    References listed on IDEAS

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    Cited by:

    1. Liu, Qiang & Liu, Yiqi & Liu, Zhi & Wang, Li, 2018. "Estimation of spot volatility with superposed noisy data," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 62-79.

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