Volatility modeling and prediction: the role of price impact
In this paper, we are interested in exploring the role of price impact, derived from the order book, in modeling and predicting stock volatility. This is motivated by the market microstructure literature that examines the mechanics of price formation and its relevance to market quality. Using a comp...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Routledge
2019
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| Subjects: | |
| Online Access: | https://eprints.nottingham.ac.uk/59571/ |