Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Working Paper |
| Scope | Discipline-based scholarship |
| Title | Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time |
| Organization Unit | |
| Authors |
|
| Language |
|
| Institution | University of Zurich |
| Series Name | SSRN |
| Number | 3243797 |
| 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 market microstructure 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 large high-frequency data. |
| Free access at | Official URL |
| Official URL | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3243797 |
| Export |
BibTeX
EP3 XML (ZORA)
|