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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time |
| Organization Unit | |
| Authors |
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| Contributors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Risk and Financial Management |
| Publisher | MDPI Publishing |
| Geographical Reach | international |
| ISSN | 1911-8074 |
| Volume | 12 |
| Number | 2 |
| Page Range | 54 |
| Date | 2019 |
| Abstract Text | We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time which ticks only when the price curve changes the direction of its trend by a given relative value. We employ the proposed measure to uncover weekly volatility seasonality patterns of three Forex and one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility computed in directional-change intrinsic time. The provided volatility estimation method can be adapted as a universal multiscale risk-management tool independent of the discreteness and the type of analysed high-frequency data. |
| Free access at | DOI |
| Official URL | https://www.mdpi.com/1911-8074/12/2/54 |
| Digital Object Identifier | 10.3390/jrfm12020054 |
| Other Identification Number | merlin-id:17734 |
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