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一致最小方差无偏分块估计量AI 解读

We provide necessary and sufficient conditions for an (Unbiased) Block estimator to have Uniformly Minimum Variance. Our theory parallels the theory of UMVU estimation, the main novel insight being the focus on the covariance among blocks. We use this theory to derive lower variance bounds for block estimators of functionals of high-frequency volatility when the block size is fixed. We further show the relevance of the new theory for the classical problem of estimation of…

纯跳过程中的漂移爆发：检测及比特币应用AI 解读

This article proposes a new nonparametric test for detecting short-lived locally explosive trends (drift bursts) in pure-jump processes. The new test is designed specifically to detect intraday flash crashes and gradual jumps in cryptocurrency prices recorded at a high frequency. Empirical analysis shows that drift bursts in bitcoin price occur, on average, every second day. Their economic importance is highlighted by showing that hedge funds holding cryptocurrency in their…

点过程的局部无界强度模型AI 解读

We develop a model for point processes on the real line, where the intensity can be locally unbounded without inducing an explosion. In contrast to an orderly point process, for which the probability of observing more than one event over a short time interval is negligible, the bursting intensity causes an extreme clustering of events around the singularity. We propose a nonparametric approach to detect such bursts in the intensity. It relies on a heavy traffic condition,…

价格跳跃还是价格停滞？AI 解读

Even moderate amounts of zero returns in financial data, associated with stale prices, are heavily detrimental for reliable jump inference. We harness staleness-robust estimators to reappraise the statistical features of jumps in financial markets. We find that jumps are much less frequent and much less contributing to price variation than what found by the empirical literature so far. In particular, the empirical finding that volatility is driven by a pure jump process is…

利用多幂变差估计跳跃活跃度AI 解读

Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether a discretely observed process contains a continuous martingale component. The empirical part of the article undertakes a…

价格停滞的统计推断AI 解读

This paper proposes a nonparametric theory for statistical inferences on zero returns of high-frequency asset prices. Using an infill asymptotic design, we derive limit theorems for the percentage of zero returns observed on a finite time interval and for other related quantities. Within this framework, we develop two nonparametric tests. First, we test whether intra-day zero returns are independent and identically distributed. Second, we test whether intra-day variation of…