英文标题：
《An instantaneous market volatility estimation》
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作者：
Oleh Danyliv, Bruce Bland
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最新提交年份：
2019
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英文摘要：
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cases we did not find significant violation of the invariant. The formula for the invariant was used for the volatility estimation, which we called the instantaneous volatility. Quantitative comparison showed that it reproduces realised volatility better than one-day-ahead GARCH(1,1) prediction. Because of the short-term prediction nature, the instantaneous volatility could be used by algo developers, volatility traders and other market professionals.
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中文摘要：
通过研究算法交易的不同方面，我们根据经验发现了一个新的市场不变量。它将工具的波动性与其交易量、平均价差和订单中的交易量联系起来。该不变量已在不同市场和不同资产类别上进行了测试。在所有情况下，我们都没有发现明显违反不变量的情况。波动率估计采用了不变量公式，我们称之为瞬时波动率。定量比较表明，它比提前一天的GARCH（1,1）预测更好地再现了实际波动率。由于短期预测性质，瞬时波动率可用于algo开发人员、波动率交易员和其他市场专业人员。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Trading and Market Microstructure 交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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