講座題目：Testing for jumps based on the high frequency data: a noise determined method
主 講 人：劉廣應
時 間：3月30日（周五）下午15:30
地 點：燕山校區一號教學樓統計學院資料室
主 辦：科研處、統計學院（大數據與指數研究院）、山東省大數據研究會
報告摘要：
This paper tests the jumps of the price process based on the noisy high frequency data. Under the null hypothesis where the price process is continuous, the test statistic converges to a normal distribution, and under the alternative hypothesis where the price has jumps, the statistic converges to infinity. Compared with the test of Ait-Sahalia, Jacod and Li (2012), our proposed statistic uses the information of the noise, enjoys faster rate to go to infinity under the alternative hypothesis, and has better power. The simulation results confirm the theoretical results and an empirical study illustrates its application in practice.
主講人簡介：
劉廣應，南京審計大學、統計與數學學院/統計與大數據研究院副教授、碩士生導師、江蘇省青藍工程學術帶頭人。劉廣應教授博士畢業于復旦大學，研究方向主要為金融數學、應用統計、金融風險管理。在計量經濟學頂級期刊 Journal of Business and Economic Statistics以及統計學權威期刊Journal of Statistical Planning and Inference 發表十余篇研究論文。劉廣應教授多次訪問香港科技大學，并主持了多項國家自然科學基金、教育部人文社科基金以及江蘇省自然科學基金面上項目等。
