Multiscale stochastic dynamics in finance

Enrico Capobianco

doi:10.1016/j.physa.2004.06.100

Multiscale stochastic dynamics in finance

Enrico Capobianco

Research output: Contribution to journal › Conference article › peer-review

4 Scopus citations

Abstract

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 language	English (US)
Pages (from-to)	122-127
Number of pages	6
Journal	Physica A: Statistical Mechanics and its Applications
Volume	344
Issue number	1-2
DOIs	https://doi.org/10.1016/j.physa.2004.06.100
State	Published - Dec 1 2004
Externally published	Yes
Event	Applications of Physics in Financial Analysis 4 (APFA4) - Warsaw, Poland Duration: Nov 13 2003 → Nov 15 2003

Keywords

Integrated and realized volatility
Multiscale stochastic processes
Semimartingales
Spectral analysis

ASJC Scopus subject areas

Statistics and Probability
Condensed Matter Physics

Access to Document

10.1016/j.physa.2004.06.100

Cite this

@article{57028402f5d941d38558b341cb0db3a0,

title = "Multiscale stochastic dynamics in finance",

abstract = "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.",

keywords = "Integrated and realized volatility, Multiscale stochastic processes, Semimartingales, Spectral analysis",

author = "Enrico Capobianco",

year = "2004",

month = dec,

day = "1",

doi = "10.1016/j.physa.2004.06.100",

language = "English (US)",

volume = "344",

pages = "122--127",

journal = "Physica A: Statistical Mechanics and its Applications",

issn = "0378-4371",

publisher = "Elsevier",

number = "1-2",

note = "Applications of Physics in Financial Analysis 4 (APFA4) ; Conference date: 13-11-2003 Through 15-11-2003",

}

TY - JOUR

T1 - Multiscale stochastic dynamics in finance

AU - Capobianco, Enrico

PY - 2004/12/1

Y1 - 2004/12/1

N2 - 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.

AB - 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.

KW - Integrated and realized volatility

KW - Multiscale stochastic processes

KW - Semimartingales

KW - Spectral analysis

UR - http://www.scopus.com/inward/record.url?scp=5444230900&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=5444230900&partnerID=8YFLogxK

U2 - 10.1016/j.physa.2004.06.100

DO - 10.1016/j.physa.2004.06.100

M3 - Conference article

AN - SCOPUS:5444230900

VL - 344

SP - 122

EP - 127

JO - Physica A: Statistical Mechanics and its Applications

JF - Physica A: Statistical Mechanics and its Applications

SN - 0378-4371

IS - 1-2

T2 - Applications of Physics in Financial Analysis 4 (APFA4)

Y2 - 13 November 2003 through 15 November 2003

ER -

Multiscale stochastic dynamics in finance

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this