References
[1]. Zhang, F. (2010). The effect of high-frequency trading on stock volatility and price discovery. SSRN eLibrary.
[2]. Zhang, L. (2006) Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach", Bernoulli, 12, 1019-1043.
[3]. Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bonds and currency options. Review of Financial Studies, 6(2), 327–343.
[4]. Guilbaud, F., & Pham, H. (2013). Optimal high-frequency trading with limit and market orders. Quantitative Finance, 13(1), 79-94.
[5]. Engle, R., Ghysels, E., & Sohn, B. (2008). On the economic sources of stock market volatility. SSRN Electronic Journal.
[6]. Bollerslev, T., & Zhou, H. (2002). Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics, 109(1), 33–65.
[7]. Sun, M. (2016). Modeling volatility using high-frequency data (Unpublished doctoral dissertation). UCLA, Los Angeles, CA.
[8]. Ellickson, B., Sun, M., Whang, D., & Yan, S. (2018). Estimating a local Heston model. SSRN Archive.
[9]. Schwert, G.W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115–1153.
[10]. Blitz, D., & van Vliet, P. (2007). The volatility effect: Lower risk without lower return. Journal of Portfolio Management, 102-113.
Cite this article
Gao,Y. (2023). Pattern Recognition of Stock Returns in the Very Short Run Leveraging High-Frequency Financial Data. Advances in Economics, Management and Political Sciences,19,353-365.
Data availability
The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.
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References
[1]. Zhang, F. (2010). The effect of high-frequency trading on stock volatility and price discovery. SSRN eLibrary.
[2]. Zhang, L. (2006) Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach", Bernoulli, 12, 1019-1043.
[3]. Heston, S. (1993). A closed-form solution for options with stochastic volatility with applications to bonds and currency options. Review of Financial Studies, 6(2), 327–343.
[4]. Guilbaud, F., & Pham, H. (2013). Optimal high-frequency trading with limit and market orders. Quantitative Finance, 13(1), 79-94.
[5]. Engle, R., Ghysels, E., & Sohn, B. (2008). On the economic sources of stock market volatility. SSRN Electronic Journal.
[6]. Bollerslev, T., & Zhou, H. (2002). Estimating stochastic volatility diffusion using conditional moments of integrated volatility. Journal of Econometrics, 109(1), 33–65.
[7]. Sun, M. (2016). Modeling volatility using high-frequency data (Unpublished doctoral dissertation). UCLA, Los Angeles, CA.
[8]. Ellickson, B., Sun, M., Whang, D., & Yan, S. (2018). Estimating a local Heston model. SSRN Archive.
[9]. Schwert, G.W. (1989). Why does stock market volatility change over time? The Journal of Finance, 44(5), 1115–1153.
[10]. Blitz, D., & van Vliet, P. (2007). The volatility effect: Lower risk without lower return. Journal of Portfolio Management, 102-113.