Multiscale stochastic dynamics in finance

Research output: Contribution to journalConference articlepeer-review

4 Scopus citations


Semimartingale probabilistic setups lead to very useful volatility estimation. The integrated volatility can be consistently estimated by the realized one according to the quadratic variation principle, even if the convergence speed can result relatively slow, depending on noise and market microstructure effects. We show, experimentally, that scale transforms based on wavelets and the corresponding cumulative periodogram estimators may offer comparable numerical performance in measuring the quadratic variation limit, thus minimizing the discrepancy between realized and integrated volatility.

Original languageEnglish (US)
Pages (from-to)122-127
Number of pages6
JournalPhysica A: Statistical Mechanics and its Applications
Issue number1-2
StatePublished - Dec 1 2004
Externally publishedYes
EventApplications of Physics in Financial Analysis 4 (APFA4) - Warsaw, Poland
Duration: Nov 13 2003Nov 15 2003


  • Integrated and realized volatility
  • Multiscale stochastic processes
  • Semimartingales
  • Spectral analysis

ASJC Scopus subject areas

  • Statistics and Probability
  • Condensed Matter Physics


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