Information loss in volatility measurement with flat price trading

Information loss in volatility measurement with flat price trading

A model of financial asset price determination is proposed that incorporates flat trading features into an efficient price process. The model involves the superposition of a Brownian semimartingale process for the effcient price and a Bernoulli process that determines the extent of price trading. Th...

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Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2023
Subjects:
Bernoulli process
Brownian Semimartingale
Calvo pricing
Flat trading
Microstructurenoise
Quarticity function
Realied volatility
Stopping times
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/1264
https://ink.library.smu.edu.sg/context/soe_research/article/2263/viewcontent/SSRN_id954571.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/1264
https://ink.library.smu.edu.sg/context/soe_research/article/2263/viewcontent/SSRN_id954571.pdf

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