, volatility, and spikes. While price trends are important in the long term, volatility and spikes are more important in the short … volatility. An assessment of the costs of price volatility has shown that the existing literature follows a conventional marginal …. Measuring and estimating the cost of food price volatility should factor in ongoing processes such as economic growth and …

capitalize possible turbulences on financial markets and likewise the well-known phenomenon of excess volatility - even if the …

the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results …

evolves over time and that it is different under different market conditions defined by exchange rate volatility. Further, we …

other characteristics of transaction prices process such as volatility requires a careful choice of the appropriate …

intensity leads to both higher trading volume and higher volatility in both orderbook treatments. The comparison shows that they … only differ in price volatility which is higher with an open orderbook. The market results mentioned above are confirmed by …

We consider the properties of three estimation methods for integrated volatility, i.e. realized volatility, the Fourier … generating mechanisms for the instantaneous volatility process, e.g. Ornstein-Uhlenbeck, long memory, and jump processes. The … compared in a simulation study which reveals a general robustness towards persistence or jumps in the latent stochastic …