From volatility to liquidity: Simple estimation from high and low prices

Item Type Presentation
Abstract

Using readily available data on daily high and lows prices, a simple estimation method of the efficient price volatility and bid-ask spread is developed. The model relies on general assumptions and it provides a closed-form solution for an unbiased estimator of efficient volatility.
Moreover, it provides a better treatment of the volume effect caused by trading discontinuity and non-trading time. Using a comprehensive data set of high-frequency FX rates, it is shown that the liquidity estimator proposed is highly correlated with the actual bid-ask spread and other measures of market liquidity

Authors Abdi, Farshid & Ranaldo, Angelo
Language English
Subjects business studies
Institute/School s/bf - Swiss Institute of Banking and Finance
HSG Classification contribution to scientific community
Refereed No
Date 14 December 2013
Event Title 7th CSDA International Conference on Computational and Financial Econometrics
Event Location GB - London
Depositing User Farshid Abdi
Date Deposited 10 Jan 2014 11:23
Last Modified 23 Aug 2016 11:18
URI: https://www.alexandria.unisg.ch/publications/228524

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Citation

Abdi, Farshid & Ranaldo, Angelo: From volatility to liquidity: Simple estimation from high and low prices. 7th CSDA International Conference on Computational and Financial Econometrics. GB - London, 14 December 2013.

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https://www.alexandria.unisg.ch/id/eprint/228524
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