学术讲座信息：Detecting Price Jumps in the Presence of Market Microstructure Noise

              讲座题目：Detecting Price Jumps in the Presence of Market Microstructure Noise

演 讲 人：孙宇澄博士

时  间：2016年9月23日 14:00

地  点：博学925室

 

演讲人简介：

孙宇澄现为西班牙庞培法布拉大学经济学院博士，金融学专业，研究领域为金融计量、数理统计、风险管理、高频数据分析。论文曾入选在 Toulouse School of Economics, European University Institute, Aarhus University和浙江大学等院校举办的学术会议

 

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.