9月30日 澳门大学刘志博士学术报告

发布时间:2017-09-27浏览次数:14

报 告 人:刘志 博士(澳门大学)

报告题目:多重观测对随机过程统计的影响

报告时间:2017年9月30日 (周六)上午9:00

报告地点:静远楼1506报告厅

报告人简介:

    刘志,澳门大学数学系助理教授。2011年博士毕业于香港科技大学。

    主要研究方向包括: 金融高频数据分析、金融风险管理、随机过程统计推断等。其研究近年来获得了多项基金的资助,在统计学、金融和生物信息国际期刊发表论文30余篇。

报告摘要:

    In estimating integrated volatility using high-frequency data, it is well documented that the presence of microstructure noise presents a major challenge. Recent literature has shown that the presence of multiple observations, a common feature in datasets, brings additional difficulty. In this study, we show that the preaveraging estimator is still consistent under multiple observations, and the related asymptotic distribution of the estimator is established. We also show that the preaveraging estimator based on multiple observations achieves the same asymptotic efficiency as the ``ideal'' estimator that assumes we know the exact trading times of all transactions. Simulation studies support the theoretical results, and we also illustrate the estimator using real data analysis.