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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GARCH-MIDAS model for forecasting volatility?
I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
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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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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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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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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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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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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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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 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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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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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 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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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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