STATISTICS SEMINAR :: Jumps in Financial markets: a new nonparametric test and jump dynamics

Event Details
  • Date/Time:
    • Tuesday October 24, 2006
      11:00 am - 12:00 am
  • Location: Executive classroom of Main building of ISyE, GT
  • Phone:
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  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: STATISTICS SEMINAR :: Jumps in Financial markets: a new nonparametric test and jump dynamics

Full Summary: STATISTICS SEMINAR :: Jumps in Financial markets: a new nonparametric test and jump dynamics

In this talk, we introduce a new nonparametric test to detect jump arrival times and realized jump sizes in asset prices up to the intra-day level. We demonstrate that the likelihood of misclassification of jumps becomes negligible when we use high-frequency returns. Using our test, we examine jump dynamics and their distributions in the U.S. equity markets. The results show that individual stock jumps are associated with pre-scheduled earnings announcements and other company-specific news events. Additionally, S&P 500 Index jumps are associated with general market news announcements. This suggests different pricing models for individual equity options versus index options.

Additional Information

In Campus Calendar
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H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:33am
  • Last Updated: Oct 7, 2016 - 9:52pm