The identification of price jumps

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

The identification of price jumps

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

The identification of price jumps

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Monte Carlo Methods and Applications

ISSN

0929-9629

e-ISSN

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Svazek periodika

18

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

25

Strana od-do

53-77

Kód UT WoS článku

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EID výsledku v databázi Scopus

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