Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/103803
Authors: 
Bibinger, Markus
Jirak, Moritz
Reiss, Markus
Year of Publication: 
2014
Series/Report no.: 
SFB 649 Discussion Paper 2014-053
Abstract: 
For a semi-martingale Xt, which forms a stochastic boundary, a rate-optimal estimator for its quadratic variation (X;X)t is constructed based on observations in the vicinity of Xt. The problem is embedded in a Poisson point process framework, which reveals an interesting connection to the theory of Brownian excursion areas. A major application is the estimation of the integrated squared volatility of an effcient price process Xt from intra-day order book quotes. We derive n -1/3 as optimal convergence rate of integrated squared volatility estimation in a high-frequency framework with n observations (in mean). This considerably improves upon the classical n -1/4-rate obtained from transaction prices under microstructure noise.
Subjects: 
Brownian excursion area
limit order book
integrated volatility
Feynman-Kac
high-frequency data
Poisson point process
JEL: 
C22
C58
Document Type: 
Working Paper

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