Most Efficient Homogeneous Volatility Estimators

We present a comprehensive theory of homogeneous volatility (and variance) estimators of arbitrary stochastic processes that fully exploit the OHLC (open, high, low, close) prices. For this, we develop the theory of most efficient point-wise homogeneous OHLC volatility estimators, valid for any price processes. We introduce the "quasi-unbiased estimators", that can address any type of desirable constraints. The main tool of our theory is the parsimonious encoding of all the information contained in the OHLC prices for a given time interval in the form of the joint distributions of the high-minus-open, low-minus-open and close-minus-open values, whose analytical expression is derived exactly for Wiener processes with drift. The distributions can be calculated to yield the most efficient estimators associated with any statistical properties of the underlying log-price stochastic process. Applied to Wiener processes for log-prices with drift, we provide explicit analytical expressions for the most efficient point-wise volatility and variance estimators, based on the analytical expression of the joint distribution of the high-minus-open, low-minus-open and close-minus-open values. The efficiency of the new proposed estimators is favorably compared with that of the Garman-Klass, Roger-Satchell and maximum likelihood estimators.Comment: 46 pages including 17 figure

Spurious trend switching phenomena in financial markets

The observations of power laws in the time to extrema of volatility, volume and intertrade times, from milliseconds to years reported by Preis et al. (2010, 2011), are shown to result straightforwardly from the selection of biased statistical subsets of realizations in otherwise featureless processes such as random walks. The bias stems from the selection of price peaks that imposes a condition on the statistics of price change and of trade volumes that skew their distributions. For the intertrade times, the extrema and power laws results from the format of transaction dat

Treatments of flows through micro-channels based on the Extended Navier-Stokes-Equations

This paper was presented at the 3rd Micro and Nano Flows Conference (MNF2011), which was held at the Makedonia Palace Hotel, Thessaloniki in Greece. The conference was organised by Brunel University and supported by the Italian Union of Thermofluiddynamics, Aristotle University of Thessaloniki, University of Thessaly, IPEM, the Process Intensification Network, the Institution of Mechanical Engineers, the Heat Transfer Society, HEXAG - the Heat Exchange Action Group, and the Energy Institute.The paper briefly refers to the present treatments of micro-channel flows that are based on the existing Navier-Stokes-Equations and the employment of wall-slip boundary conditions. The Maxwell slip velocity is employed for this purpose. This theoretical treatment is questioned. It is shown by the authors that the existing Navier-Stokes-Equations are incomplete. They do not contain terms for the self diffusion of mass. Introducing these terms yields the extended Navier-Stokes-Equations that allow micro-channel flows to be treated without the assumption of Maxwellian slip velocities at the wall. A pressure driven slip velocity occurs at the wall and it results as part of the solution for flows in micro-channels by the “Extended Navier-Stokes Equations”. Using these equations, analytical treatments of micro-channel flows are presented. Good agreement with existing experimental results is obtained