Microstructure Effects on Daily Return Volatility in Financial Markets

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dc.creatorKrause, Andreas
dc.date2000-11-17
dc.date.accessioned2026-07-07T12:06:30Z
dc.date.available2026-07-07T12:06:30Z
dc.descriptionWe simulate a series of daily returns from intraday price movements initiated by microstructure elements. Significant evidence is found that daily returns and daily return volatility exhibit first order autocorrelation, but trading volume and daily return volatility are not correlated, while intraday volatility is. We also consider GARCH effects in daily return series and show that estimates using daily returns are biased from the influence of the level of prices. Using daily price changes instead, we find evidence of a significant GARCH component. These results suggest that microstructure elements have a considerable influence on the return generating process.
dc.description15 pages, as presented at the Complexity Workshop in Aix-en-Provence
dc.identifierhttps://arxiv.org/abs/cond-mat/0011295
dc.identifierhttp://arxiv.org/abs/cond-mat/0011295
dc.identifierInternational Journal of Theoretical and Applied Finance, Vol. 6, No. 7 (2003) 739-765
dc.identifierdoi:10.1142/S0219024903002171
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208672
dc.subjectStatistical Mechanics
dc.subjectStatistical Finance
dc.titleMicrostructure Effects on Daily Return Volatility in Financial Markets
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