Multiscale stochastic dynamics in finance

Research output: Chapter in Book/Report/Conference proceedingConference contribution


The estimation of volatility processes underlying observed financial returns is stochastically characterized in a semimartingale probabilistic setting through two related measures: realised and integrated volatility. According to the quadratic variation principle, the convergence of realised to integrated volatility can be verified both in time and frequency coordinates. We show from an experimental standpoint that consistent estimators for the integrated volatility hold when the scale coordinate is considered and wavelet-based estimators are adopted.

Original languageEnglish (US)
Title of host publicationPhysics and Control
Subtitle of host publicationGeneral Problems and Applications
EditorsI.V. Miroshnik, A.N. Churilov, N.N. Bolotnik, P.V. Pakshin, A.S. Kovaleva, S.D. Zemlyakov, Alexander L. Fradkov, E. Jonckheere
PublisherInstitute of Electrical and Electronics Engineers Inc.
Number of pages6
ISBN (Electronic)078037939X, 9780780379398
StatePublished - 2003
Externally publishedYes
Event1st International Conference Physics and Control, PhysCon 2003 - Saint Petersburg, Russian Federation
Duration: Aug 20 2003Aug 22 2003

Publication series

Name2003 International Conference Physics and Control, PhysCon 2003 - Proceedings


Conference1st International Conference Physics and Control, PhysCon 2003
Country/TerritoryRussian Federation
CitySaint Petersburg


  • Convergence
  • Finance
  • Frequency estimation
  • Frequency measurement
  • Noise level
  • Noise measurement
  • Predictive models
  • Stochastic processes
  • Time measurement
  • Yield estimation

ASJC Scopus subject areas

  • Civil and Structural Engineering
  • Control and Systems Engineering
  • Control and Optimization


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