Information loss in volatility measurement with flat price trading

• 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
• Institution: Singapore Management University

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...