[Todos] Seminario de Probabilidad y Estadística Matemática

[Pablo Groisman]

Seminario de Probabilidad y Estadística Matemática.

PROXIMO ENCUENTRO: Miércoles 4 de mayo, 12:00hs.
EXPOSITOR: Rainer  Dahlhaus, University of Heidelberg.
TITULO: Particle Filter-Based On-Line Estimation of Spot and Cross
Volatility with Nonlinear Market Microstructure Noise Models.
LUGAR: Instituto de Cálculo, 2do piso, Pabellón 2.

RESUMEN: A new technique for the on-line estimation of spot volatility for
high-frequency data is developed. The algorithm works directly on the
transaction data and updates the volatility estimate immediately after the
occurrence of a new transaction. We make a clear distinction between
volatility per time unit and volatility per transaction and provide
estimators for both. A new nonlinear market microstructure noise model is
proposed that reproduces the major stylized facts of high-frequency data.
A computationally efficient particle filter is used that allows for the
approximation of the unknown efficient prices and, in combination with a
recursive EM algorithm, for the estimation of the volatility curves. In
addition, the estimators are improved by an on-line bias correction. We
neither assume that the transaction times are equidistant nor do we use
interpolated prices. In the second part the techniques are extended to the
on-line estimation of spot covariance matrices based on non-synchronous
observations.
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