A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data

Lan Zhang, Per A. Mykland, Yacine Aït-Sahalia · 2005 · Journal of the American Statistical Association

AdvancedHFTIntradayMethod

Microstructure noise biases tick-level realized volatility. The two-scales estimator corrects it.

At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: Trades Set what data you have
Themes: Options & volatility
Assets: Equities
Market: Global

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@article{zhang2005tale, author = {Zhang, Lan and Mykland, Per A. and Aït-Sahalia, Yacine}, title = {{A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data}}, journal = {Journal of the American Statistical Association}, year = {2005}, doi = {10.1198/016214505000000169} }

Zhang, L., Mykland, P. A., & Aït-Sahalia, Y. (2005). A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data. Journal of the American Statistical Association. https://doi.org/10.1198/016214505000000169