[Statlist] Research seminar in statistics FRIDAY MAY 12th 2017, GSEM University of Geneva

[Karen Longden Roure]

Dear All,

We are pleased to invite you to our next Research Seminar -

Looking forward to seeing you

Organisers :
E. Cantoni - D. La Vecchia - E. Ronchetti -
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY MAY 12th 2017 at 11h15, Uni-Mail M5220

Volatility Decomposition and Online Volatility-Estimation in Models with a Time Shift
Rainer Dahlhaus - Universität Heidelberg, Germany

ABSTRACT :

A technique for online estimation of spot volatility for high-frequency data is developed. The method uses a price model with time shift in combination with a nonlinear market microstructure noise model. A benefit of the model is that it leads to an identifiable decomposition of spot volatility into spot volatility per transaction and the trading intensity - thus highlighting the influence of trading intensity on volatility. The online algorithm uses a computationally efficient particle filter. It works directly on the transaction data and updates the volatility estimate immediately after the occurrence of a new transaction. It also allows for the approximation of the unknown efficient prices. For theoretical investigations of the estimates we present a theoretical framework with an infill asymptotics model.

(joint work with Jan. C. Neddermeyer and Sophon Tunyavetchakit)

Visit the website: http://www.stat-center.unige.ch/ressem.html

Best regards,


Karen Longden
Program Coordinator
MSc. in Management, MSc. in Economics, MSc. in Statistics
Université de Genève, Uni-Mail
Faculté d'Economie & Management, GSEM
40, bd. du Pont d'Arve, 1211 Genève 4
Tél:  +41.22.379.8109 (10h-14h)


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