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Perleseminar by Orimar Sauri, Aalborg University

Tidspunkt

21.11.2018 kl. 12.00 - 13.00

Beskrivelse

Stochastic processes in continuous time and high frequency financial econometrics

Abstract: In the first part of this talk, I will give a general overview of my research and its connections to the modelling of high frequency financial data. For the second part, the concepts of realized and spot betas of a continuous Itô’s semimartingale will be discussed. Within this framework, a method for their inference is proposed, and it is shown that such procedure is robust to microstructurenoise and asynchronisity. Finally, by using data retrieved from NYSE Trade and Quote (TAQ), we apply our methodology to test the validity of some factor models introduced in the literature.

Pris

Gratis

Arrangør

Institut for Matematiske fag

Adresse

Skjernvej 4A, AUD 5.034

Tilmelding inden

16.11.2018 kl. 12.00

Tilmeld dig til

christophe@math.aau.dk