differences of opinion is left, and hence volatility is decreased. …

regulation constitutes a safeguard which makes market participants behave differently in anticipation of a pause. Pauses tend to … have a "cool off" effect on markets, but rather accelerate volatility and bid-ask spreads. This implies a regulatory trade …

differences of opinion is left, and hence volatility is decreased. …

Measuring and modeling financial volatility is the key to derivative pricing, asset allocation and risk management … the daily or lower frequency volatility can be obtained by summing over squared high-frequency returns.In turn, this so …-called realized volatility can be used for more accurate model evaluation and description of the dynamic and distributional structure …

Error Models -- 8 Modelling High-Frequency Volatility -- 9 Estimating Market Liquidity -- 10 Semiparametric Dynamic … order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches … settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure …