[SFdS] Information du groupe BFA
WG Risk - May, 24th 2023 - Prof. Davide Pirino

Dear All,

We have the pleasure thanks to the support of the ESSEC IDS dpt, Institut des Actuaires, LabEx MME-DII, the group BFA (SFdS), to invite you to the seminar by:

Prof. Davide Pirino
University of Rome Tor Vergata, Italy

Date: Wednesday, May 24th at 12:30 pm (Paris) and 6:30 pm (Singapore)

Dual format: ESSEC Paris La Défense (CNIT), Room TBA
and via Zoom, please click here (Password/Code : 202300)

« Discontinuous trading in continuous-time econometrics »

Equi-spaced sampling is the norm in applied work using high-frequency data. Due to trade intermittency, however, this traditional sampling scheme amounts to implicit random sampling. Under implicit random sampling and on continuous trajectories, we quantify the asymptotic biases of even realized moments, and the inflated asymptotic variances of even and odd realized moments, as a function of a single easily-estimable quantity capturing trade inaction. Under explicit random sampling and on continuous trajectories, we further show how all moments are, instead, asymptotically-unbiased with asymptotic variances which continue to be closed-form functions of the degree of trade inaction. We also document how a combination of thresholding and explicit random sampling leads, on discontinuous trajectories, to asymptotically-unbiased separation of continuous and discontinuous variation of all orders. Using the valuation of a vast cross section of individual stocks as an economic metric, we show that accounting for the theoretical interplay between trade intermittency and the statistical properties of realized moments is revealing about the pricing of illiquidity, skewness and kurtosis, the subjects of an extensive literature.

Kind regards,
Jeremy Heng, Olga Klopp, Roberto Reno, and Marie Kratz
and Riada Djebbar (Singapore Actuarial Society - ERM)

SFdS - Société Française de Statistique
©2024 SFdS