Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise

• Published in: Journal of applied probability Vol. 61; no. 3; pp. 858 - 885
• Main Author: Bibinger, Markus
• Format: Journal Article
• Language: English
• Published: Cambridge, UK Cambridge University Press 01.09.2024
• Subjects: Algorithms; Approximation; Asymptotic properties; Asymptotic series; Brownian motion; Central limit theorem; Martingales; Microstructure; Monte Carlo simulation; Numerical analysis; Original Article; Prices; Random variables; Statistics; Time series; Volatility; 60J65; market microstructure; volatility estimation; Arcsine law; nonparametric boundary model; 62M09; 60F05; limit order book

We consider estimation of the spot volatility in a stochastic boundary model with one-sided microstructure noise for high-frequency limit order prices. Based on discrete, noisy observations of an Itô semimartingale with jumps and general stochastic volatility, we present a simple and explicit estima...