Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time

Journal of Risk and Financial Management

Vladimir Petrov¹  Anton Golub²  Richard Olsen³ 

[1] Department of Banking and Finance, University of Zurich, Plattenstrasse 14, 8032 Zurich, Switzerland;Flov Technologies AG, Gotthardstrasse 26, 6300 Zug, Switzerland;Lykke Corp., Alpenstrasse 9, 6300 Zug, Switzerland;

关键词: instantaneous volatility;    directional-change;    seasonality;    forex;    bitcoin;    S&;    P500;    risk management;    drawdown;   

DOI  :  10.3390/jrfm12020054

来源: DOAJ

【 摘 要 】

We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time which ticks only when the price curve changes the direction of its trend by a given relative value. We employ the proposed measure to uncover weekly volatility seasonality patterns of three Forex and one Bitcoin exchange rates, as well as a stock market index. We demonstrate the long memory of instantaneous volatility computed in directional-change intrinsic time. The provided volatility estimation method can be adapted as a universal multiscale risk-management tool independent of the discreteness and the type of analysed high-frequency data.

【 授权许可】

Unknown