讲座题目：Testing for jumps based on the high frequency data: a noise determined method
主讲人：刘广应
时间：3月30日（周五）下午15:30
地点：燕山校区一号教学楼统计学院资料室
报告摘要: 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.
主讲人简介：南京审计大学、统计与数学学院/统计与大数据研究院副教授、硕士生导师、江苏省青蓝工程学术带头人。刘广应教授博士毕业于复旦大学，研究方向主要为金融数学、应用统计、金融风险管理。在计量经济学顶级期刊Journal of Business and Economic Statistics以及统计学权威期刊Journal of Statistical Planning and Inference发表十余篇研究论文。刘广应教授多次访问香港科技大学，并主持了多项国家自然科学基金、教育部人文社科基金以及江苏省自然科学基金面上项目等。
科研处、统计学院（大数据与指数研究院）
山东省大数据研究会
2018年3月25日
