EVENTS
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STATISTICS SEMINAR :: Jumps in Financial markets: a new nonparametric test and jump dynamics
GUEST LECTURER
Professor Suzanne Lee
AFFILIATION
College of Management, Georgia Institute of Technology
ABSTRACT
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.
DATE & TIME
Tuesday, October 24, 2006 -- 11:00 AM
DURATION
1 hour
LOCATION
Executive classroom of Main building of ISyE, GT
CONTACT PERSON
Yajun Mei
