Abstract： In modern financial markets, news and prices are disseminated across the globe almost instantaneously. High-frequency data enable improved understanding of market behavior and microstructures and allow exploration of strategies and hypotheses over very short time horizons. On the other hand, financial market evolution is often interrupted by various events, such as market crashes, corporate defaults or announcements, central bank announcements, and news releases. These market uncertainties generate significant discontinuities in financial variables. Empirical evidence of such discontinuities, so-called “jumps” in financial markets, has been well documented in recent literature. A number of studies have proved the substantial impact of jumps on financial management, from portfolio and risk management to option or bond pricing and hedging. Here we shall investigate some of the issues in the study of the jump-diffission processes in high-frequency data in finance.
主 讲 人
Dr. Bingyi Jing