Volatility modeling and prediction: the role of price impact

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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...

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Bibliographic Details
Main Authors:	Jiang, Ying, Cao, Yi, Liu, Xiaoquan, Zhai, Jia
Format:	Article
Language:	English
Published:	Routledge 2019
Subjects:	Market Microstructure; Chinese Stock Market; Panel Vector Autoregression; Volatility Modeling
Online Access:	https://eprints.nottingham.ac.uk/59571/

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