Naslov
ARE JUMPS SOLELY OBSERVED AS RARE AND LARGE DISCONTINUITIES OF THE PRICE PROCESS?

Autori
Arnerić ; Josip

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
The 14th International Conference: "Challenges of Europe: Design for the Next Generation"

Mjesto i datum
Split, Hrvatska, 19.06.2023. - 19.05.2023

Vrsta sudjelovanja
Predavanje

Vrsta recenzije
Međunarodna recenzija

Ključne riječi
compound Poisson process ; quadratic variation of semi-martingale ; simulation

Sažetak
Price jumps are defined as discrete changes in the price movement generated by unexpected events with random arrival time. Traditional approaches consider that jumps are rare but large changes of the price process. However, recent studies have found that small jumps may also accrue more frequently. That is why a consensus has been achieved that price jumps are actually prevalent in financial data, including not only large and rare but small and frequent jumps. Moreover, small but frequent jumps are more difficult to detect, particularly in the presence of microstructure noise. Detection of both jump types requires high- frequency prices, observed in a very short intervals of time, e.g. 1 second. These intraday prices are helpful in finding jumps intensity, jump sizes, jumps activity and consequently to discover the sources of jumps and to test their significance. Unfortunately, all of this is computationally demanding and not straightforward when dealing with high-frequency data. For the same reason present paper in progress summarizes different concepts for price jumps identification (referencing on existing simulation and empirical studies), offers detail insight in issues that may emerge and provides some practical recommendations for the potential users.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija

POVEZANOST RADA