High-frequency volatility and liquidity

Abstract

Due to the permanently increasing availability of high-frequency financial data, the empirical analysis of trading behavior and the modelling of trading processes has become a major theme in modern financial econometrics. Key variables in empirical studies of high-frequency data are price volatilities, trading volume, trading intensities, bid-ask spreads and market depth as displayed by an open limit order book. A common characteristic of these variables is that they are positive-valued and persistently clustered over time. © 2008 Springer-Verlag Berlin Heidelberg.