The identification of price jumps

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11640%2F12%3A00377193" target="_blank" >RIV/00216208:11640/12:00377193 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1515/mcma-2011-0019" target="_blank" >http://dx.doi.org/10.1515/mcma-2011-0019</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1515/mcma-2011-0019" target="_blank" >10.1515/mcma-2011-0019</a>

Result language
angličtina
Original language name
The identification of price jumps
Original language description
We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intradaynoise volatility patterns and price-jump specifications. The double McNemar nonparametric test (Psychometrika 12 (1947), 153?157) has been applied on constructed artificial time series to compare fourteen different price-jump indicators that are widelyused in the literature. The results suggest large differences in terms of performance among the indicators, but we were able to identify the best-performing indicators. In the case of false positive probability, the best-performing price-jump indicator is based on thresholding with respect to centiles. In the case of false negative probability, the best indicator is based on bipower variation.
Czech name
—
Czech description
—

Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
AH - Economics
OECD FORD branch
—

Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Similar results(10)