Analysis of Realized Volatility in Two Trading Sessions of the Japanese Stock Market(Financial and Consumer Markets,Proceedings of the YITP Workshop on Econophysics,Econophysics 2011-The Hitchhiker's Guide to the Economy-)
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概要
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We analyze realized volatilities constructed using high-frequency stock data on the Tokyo Stock Exchange. In order to avoid non-trading hours issue in volatility calculations we define two realized volatilities calculated separately in the two trading sessions of the Tokyo Stock Exchange, i.e. morning and afternoon sessions. After calculating the realized volatilities at various sampling frequencies we evaluate the bias from the microstructure noise as a function of sampling frequency. Taking account of the bias to realized volatility we examine returns standardized by realized volatilities and confirm that price returns on the Tokyo Stock Exchange are described approximately by Gaussian time series with time-varying volatility, i.e. consistent with a mixture of distributions hypothesis.
- 2012-06-14
著者
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Takaishi Tetsuya
Hiroshima University Of Economics
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Chen Ting
Faculty Of Integrated Arts And Sciences Hiroshima University
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ZHENG Zeyu
Department of Environmental Sciences, Tokyo University of Information Sciences
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Zheng Zeyu
Department Of Environmental Information Tokyo University Of Information Sciences
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