A Noisy Fractional Brownian Motion Model for Multiscale Correlation Analysis of High-Frequency Prices
Tim Leung,
Theodore Zhao
Abstract:We analyze the multiscale behaviors of high-frequency intraday prices, with a focus on how asset prices are correlated over different timescales. The multiscale approach proposed in this paper is designed for the analysis of high-frequency intraday prices. It incorporates microstructure noise into the stochastic price process. We consider a noisy fractional Brownian motion model and illustrate its various statistical properties. This leads us to introduce new latent correlation and noise estimators. New numeri… Show more
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