Nontrading Market Making And Estimates of Stock Price Volatiity
Nontrading Market Making And Estimates of Stock Price Volatiity
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• . , S(t ), which we 2 denote o [the subscript S stands for successive observations], will be: 2 2 > '^ s 2 o^ = + var(h. - h. , )y S J j-1 2 where \i - a - 1/2 o Is the stock's logarithmic mean rate of return. If the logarithmic mean return y [ not the drift parameter a], Is zero, then there will be no eighths-Induced bias In the estimate a of o over a "long run" of observations.
This contention that the traditional estimator of volatility Is not biased by nontradlng differs from that of Gott...lieb and Kalay (1985). The reason Is that they Infer the effects of nontradlng on traditional volatility estimates from a distribution of observed closing prices which Is conditioned on a given beglnnlng-of-day (or equlvalently, end-of-prevlous-day) price. In terms of Figure 1, their distribution of closing prices would consist of repeated draws of S(tQ 4 6) for a given S(tQ).
If the traditional volatility estimate Is computed using Gottlieb and Kalay 's approach with observed end-of-day prices generated by the tled-down Brownlan motion.
What to read after Nontrading Market Making And Estimates of Stock Price Volatiity?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
• . , S(t ), which we 2 denote o [the subscript S stands for successive observations], will be: 2 2 > '^ s 2 o^ = + var(h. - h. , )y S J j-1 2 where \i - a - 1/2 o Is the stock's logarithmic mean rate of return. If the logarithmic mean return y [ not the drift parameter a], Is zero, then there will be no eighths-Induced bias In the estimate a of o over a "long run" of observations.
This contention that the traditional estimator of volatility Is not biased by nontradlng differs from that of Gott...lieb and Kalay (1985). The reason Is that they Infer the effects of nontradlng on traditional volatility estimates from a distribution of observed closing prices which Is conditioned on a given beglnnlng-of-day (or equlvalently, end-of-prevlous-day) price. In terms of Figure 1, their distribution of closing prices would consist of repeated draws of S(tQ 4 6) for a given S(tQ).
If the traditional volatility estimate Is computed using Gottlieb and Kalay 's approach with observed end-of-day prices generated by the tled-down Brownlan motion.
What to read after Nontrading Market Making And Estimates of Stock Price Volatiity?
You can find similar books in the "Read Also" column, or choose other free books by Terry a Marsh to read onlineMoreLess
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