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• W3122314268 abstract "Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. This paper presents a market microstructure model that is able to generate volatility clustering with hyperbolically decaying autocorrelations via traders with multiple trading frequencies, using Bayesian information updates in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequencies, can increase the persistence of the volatility of returns. Furthermore, we show that the volatility of the underlying time series of returns varies greatly with the number of traders in the market." @default.
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• W3122314268 date "2012-03-01" @default.
• W3122314268 modified "2023-10-17" @default.
• W3122314268 title "Trading frequency and volatility clustering" @default.
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• W3122314268 doi "https://doi.org/10.1016/j.jbankfin.2011.09.008" @default.
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