Questions tagged [high-frequency-estimators]
High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...
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Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?
In the context of high frequency trading, I'm exploring the application of the mean absolute deviation estimate for high-frequency volatility calculation. What would be the optimal choice for this ...
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What are the parameters’ units in the Avellaneda and Stoikov model?
I'm studying a draft of the paper “Dealing with the Inventory Risk:
A solution to the market making problem” by Guéant et al from July 2012.
According to the paper, the closed form solution to the ...
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Privatelink latency impact
I am working with a team on a market making algorithm on Huobi. We are integrating our infrastructure in AWS and when you are a S tier you can get a privatelink which is about 10 to 50 ms faster than ...
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How to determine which realized volatility estimator should be used?
There are so many realized measure have been invented in the past years like TSRV, MSRV, KRVTH, KRVC... But how to choose them in practice?
I know we cannot find the "estimation error" of ...
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Intraday Factor Analysis, measuring intraday alpha, etc
I understand that models like the Fama-French 3 factor model are sometimes regressed against portfolio returns to compute an intercept value to understand if the portfolio captures common factors or '...
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TSRV parameters selection
I'm thinking about how to select the $J$, and particularly, $K$ parameters for the Two Scale Realized Volatility estimation? I cannot find any reference for that in the original paper - there it says $...
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How to model asset prices for a very short time period
Geometric Brownian motion is the most common model for asset price evolution. Is it still viable for modeling asset prices in a very short time period? For example, I have time series of length 3600 ...
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Recreating Bid-Ask from Transactions data
A database only has transactions/trades for a given instrument.
In order to recreate bid-ask of the instrument to estimate the average bid-ask spread, what process does one need to follow?
what are ...
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Realized Volatility vs. Standard deviation of log returns
I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns.
Given X is ...
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GARCH model using high frequency price return
I would like to forecast variance at time length $k\delta$ based on a price (return) time series of time step length $\delta$. I will apply a GARCH(1,1) model to subsamples at time intervals length $k\...
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How to interpret Realized Volatility and TSRV using R
I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
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Optimal bandwidth for Realized Kernel
If I want to estimate Realized Kernel for 1 min bins, is there a way to compute the optimal bandwidth?
In the reference paper: Realised Kernels in Practice: Trades and Quotes (Ole Barndoff-Nielsen et ...
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How rapidly should estimated volatility and volume change for estimating market impact in small markets?
The cost of market impact is usually modeled as:
$$
\Delta{P} = \delta \sigma (\frac{Q}{V})^{1/2}
$$
Where:
$ \Delta{P} $ is the change in price of the asset caused by the transaction size $Q$
$\...
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Crossing the spread as a ML signal
In the optic of high-frequency trading, most of the standard trading algorithms work on the principle of mid-price prediction or mid-price movement prediction. However a big drawback of this technique ...
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realized correlation estimation
I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
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Negative high frequency intraday volatility - Zhou estimator
To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf
http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf
where he talks about the bias free ...
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better estimator of volatility for small samples
One commonly used sample estimator of volatility is the standard deviation of the log returns.
It is indeed a very good estimator (unbiased, ...) when the sample is large.
But I don't like it for ...
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Getting over bid-ask bounce
One property of High-Frequency data is it's subject to bid-ask bounce.
Description : Unlike traditional data based on just closing prices, tick data carry additional supply-and-demand information in ...
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Interpreting and scaling of Realized Variance with sample data
I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
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Code for HY Estimator
Does anyone here has a code for HY estimator, preferably in python?
I have written a very basic code in python but my results are weird. When I run it for two liquid assets traded on two different ...
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impact model what volatility to use
I am looking at the market impact paper here (http://www.cims.nyu.edu/~almgren/papers/costestim.pdf) and I had a question about volatility on page 11.
On page 11 it is stated: "For volatility, we use ...
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What volatility estimator for continuous data and small time window?
I want to know which volatility estimator should I use for the following scenario:
I am implementing a market making bot and therefore I need to make estimations of the volatility of the price in ...
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How to calculate historical intraday volatility?
Sorry for what must be a beginner question, but when I went to write code I realized I didn't understand exactly how historical volatility, or statistical volatility, is defined. Wikipedia tells me "...
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Aggregating Tick Data
I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange.
I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
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Logistic Regression of tick data
I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged.
So I have been trying to use ...
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Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility
I am looking to measure the volatility from the open of the market until a trade takes place and use that volatility in post-trade regressions to help explain transaction costs. A simple regression ...
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Can you explain me these comments on high frequency data?
I was reading some slides on high frequency data and i came across these statements:
data discreetness induces high degree of kurtosis
and
Non synchronous trading and risk premium are sources (...
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What good papers of short term (<30 seconds) volatility estimation [duplicate]
I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting.
Do you have something in mind ?
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What exactly is meant by "microstructure noise"?
I see that term tossed around a lot, in articles relating to HFT, and ultra high frequency data.
It says at higher frequencies, smaller intervals, microstructure noise is very dominant.
What is ...
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Liquidity estimators: VWAP and IS
I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. What I mean by this is that I ...
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How to manage equity portfolio risk intraday?
Lets assume that I have an equity strategy that generates signals intraday to buy and sell. I run this strategy across the SP500 names. Now within my strategy I want to incorporate a method to help me ...
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How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?
How to model time series which are illiquid - 400 observations (transactions) per 8 hours ? Are there models suitable for this situation which incorporate not only size of the transactions but also ...
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When does the Epps effect start?
Wikipedia defines the Epps effect as follows:
In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns ...
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