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High-Frequency Volatility and Liquidity

In: Applied Quantitative Finance

Author

Listed:
  • Nikolaus Hautsch

    (Humboldt-Universität zu Berlin, CASE, Center for Applied Statistics and Economics)

  • Vahidin Jeleskovic

    (Deutsche Bank AG, Quantitative Products Laboratory)

Abstract

Due to the permanently increasing availability of high-frequency financial data, the empirical analysis of trading behavior and the modelling of trading processes has become a major theme in modern financial econometrics. Key variables in empirical studies of high-frequency data are price volatilities, trading volume, trading intensities, bid-ask spreads and market depth as displayed by an open limit order book. A common characteristic of these variables is that they are positive-valued and persistently clustered over time.

Suggested Citation

  • Nikolaus Hautsch & Vahidin Jeleskovic, 2009. "High-Frequency Volatility and Liquidity," Springer Books, in: Wolfgang K. Härdle & Nikolaus Hautsch & Ludger Overbeck (ed.), Applied Quantitative Finance, edition 2, chapter 19, pages 379-397, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-69179-2_19
    DOI: 10.1007/978-3-540-69179-2_19
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