From volatility to liquidity: Simple estimation from high and low prices
Type
presentation
Date Issued
2013-12-14
Author(s)
Abstract
Using readily available data on daily high and lows prices, a simple estimation method of the efficient price volatility and bid-ask spread is developed. The model relies on general assumptions and it provides a closed-form solution for an unbiased estimator of efficient volatility.
Moreover, it provides a better treatment of the volume effect caused by trading discontinuity and non-trading time. Using a comprehensive data set of high-frequency FX rates, it is shown that the liquidity estimator proposed is highly correlated with the actual bid-ask spread and other measures of market liquidity
Moreover, it provides a better treatment of the volume effect caused by trading discontinuity and non-trading time. Using a comprehensive data set of high-frequency FX rates, it is shown that the liquidity estimator proposed is highly correlated with the actual bid-ask spread and other measures of market liquidity
Language
English
HSG Classification
contribution to scientific community
Refereed
No
Event Title
7th CSDA International Conference on Computational and Financial Econometrics
Event Location
GB - London
Subject(s)
Eprints ID
228524