On the Brownian range and the Brownian reversal
Year: 2024
Type: article
Abstract: This paper studies a novel Brownian functional defined as the supremum of a weighted average of the running Brownian range and its running reversal from extrema on the unit interval. We derive the Laplace transform for the squared reciprocal of this functional, which leads to explicit moment expressions that are new to the literature. We show that the proposed Brownian functional can be used to estimate the spot volatility of financial returns based on high-frequency price observations.
Source: Journal of Applied Probability
DOI: 10.1017/jpr.2024.95
Author: Yifan Li
Institution: University of Manchester
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,450
OpenAlex ID: W4404980947