Excerpt from Nontrading, Market-Making, and Estimates of Stock Price Volatility Unfortunately, as we show, removal of the bias will often decrease, not increase, estimation efficiency. On the other hand, information-motivated trades with market makers tend to generate prices which will lead to a downward bias in traditional volatility estimates. In addition to causing these biases, we show that the impact of information trading and liquidity trading on observed prices exacerbates the loss of efficiency in traditional ...
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Excerpt from Nontrading, Market-Making, and Estimates of Stock Price Volatility Unfortunately, as we show, removal of the bias will often decrease, not increase, estimation efficiency. On the other hand, information-motivated trades with market makers tend to generate prices which will lead to a downward bias in traditional volatility estimates. In addition to causing these biases, we show that the impact of information trading and liquidity trading on observed prices exacerbates the loss of efficiency in traditional volatility estimators which is attributable to nontrading pg; gs. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at ... This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works.
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