Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time
We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time which t...
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| Veröffentlicht in: | Journal of risk and financial management 2019-06, Vol.12 (2), p.1-31 |
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| container_title | Journal of risk and financial management |
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| creator | Petrov, Vladimir Golub, Anton Olsen, Richard |
| description | We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time which ticks only when the price curve changes the direction of its trend by a given relative value. We employ the proposed measure to uncover weekly volatility seasonality patterns of three Forex and one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility computed in directional-change intrinsic time. The provided volatility estimation method can be adapted as a universal multiscale risk-management tool independent of the discreteness and the type of analysed high-frequency data. |
| doi_str_mv | 10.3390/jrfm12020054 |
| format | Article |
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| language | eng |
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| source | MDPI - Multidisciplinary Digital Publishing Institute; EZB-FREE-00999 freely available EZB journals |
| subjects | bitcoin directional-change drawdown Electronic trading systems Experiments Forecasting techniques forex High frequency trading instantaneous volatility Measurement techniques Probability Random variables risk management S&P500 Seasonal variations seasonality Time series Volatility |
| title | Instantaneous volatility seasonality of high-frequency markets in directional-change intrinsic time |
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