Title :
Multiscale stochastic dynamics in finance
Author :
Capobianco, Enrico
Author_Institution :
CWI, Amsterdam, Netherlands
Abstract :
The estimation of volatility processes underlying observed financial returns is stochastically characterized in a semimartingale probabilistic setting through two related measures: realised and integrated volatility. According to the quadratic variation principle, the convergence of realised to integrated volatility can be verified both in time and frequency coordinates. We show from an experimental standpoint that consistent estimators for the integrated volatility hold when the scale coordinate is considered and wavelet-based estimators are adopted.
Keywords :
Brownian motion; convergence; finance; probability; stochastic processes; wavelet transforms; Brownian motion; convergence; discrete cosine transforms; finance; frequency coordinate; integrated volatility; multiscale stochastic dynamics; quadratic variation principle; semimartingale probabilistic setting; time coordinate; wavelet based estimators; Convergence; Finance; Frequency estimation; Frequency measurement; Noise level; Noise measurement; Predictive models; Stochastic processes; Time measurement; Yield estimation;
Conference_Titel :
Physics and Control, 2003. Proceedings. 2003 International Conference
Print_ISBN :
0-7803-7939-X
DOI :
10.1109/PHYCON.2003.1236821
