High-Frequency Volatility and Liquidity

Nikolaus Hautsch and Vahidin Jeleskovic
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Nikolaus Hautsch: Humboldt-Universität zu Berlin, CASE, Center for Applied Statistics and Economics
Vahidin Jeleskovic: Deutsche Bank AG, Quantitative Products Laboratory

Chapter 19 in Applied Quantitative Finance, 2009, pp 379-397 from Springer

Abstract: Due to the permanently increasing availability of high-frequency financial data, the empirical analysis of trading behavior and the modelling of trading processes has become a major theme in modern financial econometrics. Key variables in empirical studies of high-frequency data are price volatilities, trading volume, trading intensities, bid-ask spreads and market depth as displayed by an open limit order book. A common characteristic of these variables is that they are positive-valued and persistently clustered over time.

Keywords: Trading Intensity; Trading Cost; Stochastic Volatility; Trading Period; Liquidity Supply (search for similar items in EconPapers)
Date: 2009
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DOI: 10.1007/978-3-540-69179-2_19

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