Seminar in applied mathematics and statistics

SPEAKER: Kim Christensen (Aarhus University) 

TITLE:  Fact or friction: Jumps at ultra high frequency 

ABSTRACT:
This paper shows that jumps in financial asset prices are often erroneously identified and are, in fact, rare events accounting for a very small proportion of the total price variation. We apply new econometric techniques to a comprehensive set of ultra high-frequency equity and foreign exchange tick data recorded at millisecond precision, allowing us to examine the price evolution at the individual order level. We show that in both theory and practice, traditional measures of jump variation based on lower-frequency data tend to spuriously assign a burst of volatility to the jump component. As a result, the true price variation coming from jumps is overstated. Our estimates based on tick data suggest that the jump variation is an order of magnitude smaller than typical estimates found in the existing literature.

Tea and chocolate will be served in room 04.3.15 after the seminar.

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CURRENT SCHEDULE FOR SPRING 2016:

January 20, 15.15, Aud. 6: Alessia Pini (MOX, Politecnico di Milano)
February 24, 15.15, Aud. 10: Matthias Fahrenwaldt (Hannover)
March 9, 15.15, Aud. 10: Mogens Fosgerau (DTU)
March 11, 14.15, Aud. 8: Hansjoerg Albrecher (Lausanne)
March 16, 15.15, Aud. 10: Peter McCullagh (Oxford/Chicago)
March 17, 15.15, Aud. 10: Peter Glynn (Stanford)
May 13, 14.15, Aud. 3: Emilio Procu (Univ. Federico Santa Maria, Chile)
May 18, 15.15, Aud. 8: Holger Drees (Hamburg)
May 20, 14.15, Aud. 10: Kim Christensen (Aarhus)
June 8, 15.15, Aud. 8: Ana-Maria Staicu
June 15, 15.15, Aud. 8: Line K. H. Clemmensen