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| 確率的ボラティリティモデル（ヘストンモデル）× | 高頻データと市場マイクロストラクチャ分析× | |
|---|---|---|
| 分野 | ファイナンス | ファイナンス |
| 系統 | Regression model | Regression model |
| 提唱年≠ | 1993 | 2007 |
| 提唱者≠ | Steven L. Heston | Hasbrouck (2007); Aït-Sahalia & Jacod (2014) |
| 種類≠ | Continuous-time stochastic volatility model | Market microstructure / high-frequency econometrics |
| 原典≠ | Heston, S. L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options. Review of Financial Studies, 6(2), 327-343. DOI ↗ | Hasbrouck, J. (2007). Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading. Oxford University Press. ISBN: 978-0195301649 |
| 別名 | Heston model, SV model, continuous-time stochastic volatility, Stokastik Volatilite Modeli (Heston, SV) | market microstructure, high-frequency financial econometrics, tick data analysis, Yüksek Frekanslı Veri ve Piyasa Mikro Yapısı |
| 関連 | 5 | 5 |
| 概要≠ | The stochastic volatility model is a continuous-time option-pricing and risk framework in which volatility follows its own random process rather than staying constant. The Heston model, introduced by Steven Heston in 1993, gives the variance a mean-reverting square-root (CIR) dynamic and yields a closed-form option price; it is the continuous-time counterpart of GARCH. | Market microstructure analysis studies how prices form from tick-level trade and quote data, examining order-book dynamics, the bid-ask spread, and price discovery. The modern econometric framework was set out by Hasbrouck (2007) and extended for high-frequency data by Aït-Sahalia and Jacod (2014). |
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