In this paper we introduce a new way to estimate the spot volatility of high frequency foreign exchange data using the … Hilbert-Huang Transform. We also propose and test a consistent spot volatility estimate in the presence of microstructure … trading market in which competing volatility forecasts buy and sell straddle options to one another using real high frequency …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use … of numerical methods for pricing, hedging, and risk management of financial instruments. …

impact of such concepts, e.g. effects on the price formation or the volatility of prices, a simulation environment is … market prices. On the other hand, lower latency appears to lower market volatility. -- Algorithmic Trading ; Simulation … conducted by comparing different simulation runs including and excluding a trader constituting an algorithmic trading model in …

employs an agent-based simulation to examine the influence of a simple HFT strategy in a continuous double auction market. In … that market volatility increased with the number of HF traders, and the profits of those traders may come at the expense of … long-term oriented investors. These findings may justify some of the concerns of regulators. The simulation setting helps …

-type market simulation in a discrete-time, one-asset world. We analyse both the observable factors average bid-offer spread and … volatility as well as the unobservable distribution of profits and losses of the market participants. We conclude that regarding …