TIMS Seminar in Statistical Methodology_Taida Institute for Mathematical SciencesXinghua(Dec. 8, 2016)
TaidaInstitute for Mathematical Sciences
†††††TIMS Seminar in Statistical Methodology_Yingying (Dec. 8, 2016) ……………
Speaker:Prof. Xinghua Zheng (The Hong Kong University of Science and Technology)
Title:Statistical Properties of Microstructure Noise
Abstract:We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be irregularly spaced, \\emph{and} the noise to be dependent on the price process and to have diurnal features. Estimators of arbitrary orders of (joint) moments are provided, for which we establish consistency as well as central limit theorems. In particular, we provide estimators of autocovariances and autocorrelations of the noise. Simulation studies demonstrate excellent performance of our estimators in the presence of jumps, irregular observation times, and even rounding. Empirical studies reveal (moderate) positive autocorrelations of microstructure noise for the stocks tested. Based on joint work with Jean Jacod and Yingying Li.
Date:Thursday, December 08, 2016
Time:10:30~12:30
Place:Room 103, Mathematics Research Center Building (ori. New Math. Bldg.), National Taiwan University
Organizing Committee:
Prof. Hung Chen (Department of Mathematics, NTU)
Prof. Chin-Tsang Chiang (Department of Mathematics, NTU)
