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Title:

When Frictions are Fractional: Rough Noise in High-Frequency Data

Document type:
Zeitschriftenaufsatz
Author(s):
Chong, Carsten; Delerue, Thomas; Li, Guoying
Abstract:
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday transactions data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time stochastic process that locally behaves as fractional Brownian motion. Assuming that the underlying efficient price process follows a continuous Itô semimartingale, we derive consistent estimators and asymptotic confidence intervals for the roughness pa...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Preprint
Year:
2021
Language:
en
Fulltext / DOI:
doi:10.48550/ARXIV.2106.16149
Publisher:
arXiv
Submitted:
30.06.2022
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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