Quantized price volatility model for transaction data

Hiroyuki Moriya ()
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Hiroyuki Moriya: Quasars22 Private Limited

Evolutionary and Institutional Economics Review, 2017, vol. 14, issue 2, No 5, 397-408

Abstract: Abstract Financial markets are diversifying dynamical systems with many constraints. Price movements are modeled in terms of the size of the tick, the number of trades, and several other constraints. The multiplicity is a bridge between the distribution of pips and the macro properties of dynamical systems. This model does not assume specific interactions between economic agents, which many models use to explain the anomalous behavior of markets and asset prices. However, it needs the heterogeneous economic agents that transact the distinguishable trades. The model provides the view about the determinant of characteristics of volatility movements over a very short-term scale as well as a long-term period.

Keywords: Financial markets; Multiplicity; Tick; Realized volatility; Heterogeneous economic agents; Volatility fluctuation (search for similar items in EconPapers)
JEL-codes: A1 D53 G1 (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s40844-017-0078-1

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