Functional modelling of volatility in the Swedish limit order book market
2008 (English)In: Computational Statistics & Data Analysis, ISSN 0167-9473Article in journal (Refereed) Published
The publicly available electronic limit order book at the StockholmStock Exchange consists of five levels of prices and quantities of agiven stock with a bid and ask side. All changes in the book duringone day can be recorded with a time quote. Studying variation of the quoted price returns as function of quantity is discussed. In particular, discovering and modelling dynamic behaviours in thevolatility of prices and liquidity measures are considered. Applying a functional approach, estimation of the volatility dynamics of the spreads, created as differences between the ask and bid prices, is presented through a case study. For thatpurpose two-step estimation of functional linear models is used, extending this method to atime series context.
Place, publisher, year, edition, pages
Computer and Information Science
Research subject Statistics
IdentifiersURN: urn:nbn:se:umu:diva-18752DOI: 10.1016/j.csda.2008.01.008OAI: oai:DiVA.org:umu-18752DiVA: diva2:174697