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Quantized price volatility model for transaction data

Author

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  • Hiroyuki Moriya

    (Quasars22 Private Limited)

Abstract

Financial markets are diversifying dynamical systems with many constraints. Price movements are modeled in terms of the size of the tick, the number of trades, and several other constraints. The multiplicity is a bridge between the distribution of pips and the macro properties of dynamical systems. This model does not assume specific interactions between economic agents, which many models use to explain the anomalous behavior of markets and asset prices. However, it needs the heterogeneous economic agents that transact the distinguishable trades. The model provides the view about the determinant of characteristics of volatility movements over a very short-term scale as well as a long-term period.

Suggested Citation

  • Hiroyuki Moriya, 2017. "Quantized price volatility model for transaction data," Evolutionary and Institutional Economics Review, Springer, vol. 14(2), pages 397-408, December.
    • Handle: RePEc:spr:eaiere:v:14:y:2017:i:2:d:10.1007_s40844-017-0078-1
    DOI: 10.1007/s40844-017-0078-1
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    More about this item

    Keywords

    Financial markets; Multiplicity; Tick; Realized volatility; Heterogeneous economic agents; Volatility fluctuation;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • A1 - General Economics and Teaching - - General Economics

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