
on Market Microstructure 
By:  Markus Bibinger 
Abstract:  The article is devoted to the nonparametric estimation of the quadratic covariation of nonsynchronously observed Itô processes in an additive microstructure noise model. In a highfrequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator including a feasible central limit theorem with optimal convergence rate on convenient regularity assumptions. The inevitably remaining impact of asynchronous deterministic sampling schemes and noise corruption on the asymptotic distribution is precisely elucidated. A case study for various important examples, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in applications. 
Keywords:  nonsynchronous observations, microstructure noise, integrated covolatility, multiscale estimator, stable limit theorem 
JEL:  C14 C32 G10 
Date:  2011–06 
URL:  http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2011034&r=mst 
By:  Wei Li; Fengzhong Wang; Shlomo Havlin; H. Eugene Stanley 
Abstract:  We study the daily trading volume volatility of 17,197 stocks in the U.S. stock markets during the period 19892008 and analyze the time return intervals $\tau$ between volume volatilities above a given threshold q. For different thresholds q, the probability density function P_q(\tau) scales with mean interval <\tau> as P_q(\tau)=<\tau>^{1}f(\tau/<\tau>) and the tails of the scaling function can be well approximated by a powerlaw f(x)~x^{\gamma}. We also study the relation between the form of the distribution function P_q(\tau) and several financial factors: stock lifetime, market capitalization, volume, and trading value. We find a systematic tendency of P_q(\tau) associated with these factors, suggesting a multiscaling feature in the volume return intervals. We analyze the conditional probability P_q(\tau\tau_0) for $\tau$ following a certain interval \tau_0, and find that P_q(\tau\tau_0) depends on \tau_0 such that immediately following a short/long return interval a second short/long return interval tends to occur. We also find indications that there is a longterm correlation in the daily volume volatility. We compare our results to those found earlier for price volatility. 
Date:  2011–06 
URL:  http://d.repec.org/n?u=RePEc:arx:papers:1106.1415&r=mst 
By:  Markus Bibinger 
Abstract:  In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The HayashiYoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration based on an iterative synchronization algorithm. We consider highfrequency asymptotics and prove a feasible stable central limit theorem. The characteristics of nonsynchronous observation schemes affecting the asymptotic variance are captured by a notion of asymptotic covariations of times. These are precisely illuminated and explicitly deduced for the important case of independent timehomogeneous Poisson sampling. 
Keywords:  nonsynchronous observations, quadratic covariation, HayashiYoshida estimator, stable limit theorem, asymptotic distribution 
JEL:  C14 C32 G10 
Date:  2011–06 
URL:  http://d.repec.org/n?u=RePEc:hum:wpaper:sfb649dp2011033&r=mst 
By:  Dooruj Rambaccussing (University of Exeter) 
Abstract:  If prices of assets are not aligned to their net present value, a trading strategy may be implemented when actual prices revert to fundamentals. This hypothesis is informally tested in realtime using a trading strategy which consists of identifying whether the equity index is over or under priced. The fundamental price is constructed in real time using the net present value approach which requires the series for expected dividends, expected returns and expected dividend growth rate. These series, typi cally unobservable, are derived from a structural state space model and econometric models. The performance of the rules depend on the fre quency of the data. Cyclical behaviour within the the one year frequency may not be discarded. The trading strategy performs poorly implying that mean reversion may not be uncovered in realtime. However a hybrid variant of the structural and econometric model is shown to outperform the passive Buy and Hold strategy. 
Keywords:  Trading Rule,Asset Pricing, State Space Modeling 
JEL:  G12 G14 
Date:  2011–05 
URL:  http://d.repec.org/n?u=RePEc:eec:wpaper:1113&r=mst 