學術(shù)講座信息：Detecting Price Jumps in the Presence of Market Microstructure Noise

              講座題目：Detecting Price Jumps in the Presence of Market Microstructure Noise

演 講 人：孫宇澄博士

時  間：2016年9月23日 14:00

地  點：博學925室

 

演講人簡介：

孫宇澄現(xiàn)為西班牙龐培法布拉大學經(jīng)濟學院博士，金融學專業(yè)，研究領域為金融計量、數(shù)理統(tǒng)計、風險管理、高頻數(shù)據(jù)分析。論文曾入選在 Toulouse School of Economics, European University Institute, Aarhus University和浙江大學等院校舉辦的學術(shù)會議

 

Detecting Price Jumps in the Presence of Market Microstructure Noise

Yucheng Sun

 

In this paper we design a test to detect the arrivals of jumps in asset pricescontaminated by market microstructure noise. Our test statistic is the ratio ofrescaled local average return over the square root of the rescaled truncated two-scalerealized variance (TTSRV). The TTSRV estimator is a local volatility estimator thatis robust to jumps and market microstructure noise. We derive the limiting valueof the power of the test given the signi_cance level, and provide conditions for thetest to be consistent. Simulations show that the test performs satisfactorily whenthe sampling frequency is high. In particular, we show that the test performs betterthan some prevalent jump test based on the bipower variation when the price processis contaminated by the noise.