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Realized Drift

Время: 14 октября (Пятница) 14.00 МСК
Спикер: Roberto Renò (Professor of Quantitative Finance at the Department of Economics of the University of Verona)
Название: Realized Drift

Область исследования
"Finance, Econometrics"

Какую проблему призвано решить ваше исследование?
"Can we use the drift part of prices to better forecast volatility?"

Что обнаружило ваше исследование?
"Drift can be measured in the data in some relevant instances; this helps to forecast volatility substantially."

Абстракт: Drift and volatility are two mainsprings of asset price dynamics. While volatilities have been studied extensively in the literature, drifts are commonly believed to be impossible to estimate and largely ignored in the literature. This paper shows how to detect drift using realized autocovariance implemented on high-frequency data. We use a theoretical treatment in which the classical model for the efficient price, an Ito semimartingale possibly contaminated by microstructure noise, is enriched with drift and volatility explosions. Our theory advocates a novel decomposition for realized variance into a drift and a volatility component, which leads to significant improvements in volatility forecasting.

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