Measuring volatility and correlations with high-frequency data

Giulia Iori

doi:10.1117/12.724598

15 June 2007 Measuring volatility and correlations with high-frequency data

Giulia Iori

Proceedings Volume 6601, Noise and Stochastics in Complex Systems and Finance; 66010F (2007) https://doi.org/10.1117/12.724598
Event: SPIE Fourth International Symposium on Fluctuations and Noise, 2007, Florence, Italy

Abstract

We review applications, published in three separate papers, of a recently proposed method to estimate volatility and correlation when prices are observed at a high frequency rate. The method is based on Fourier analysis and does not require any data manipulation, leading to less noisy estimates than the traditional methodologies proposed so far.

Citation Download Citation

Giulia Iori "Measuring volatility and correlations with high-frequency data", Proc. SPIE 6601, Noise and Stochastics in Complex Systems and Finance, 66010F (15 June 2007); https://doi.org/10.1117/12.724598

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