Statistics and Data Science Seminar
Professor Lan Zhang
University of Illinois at Chicago (Finance-CBA)
High frequency financial data and the hidden semimartingale model
Abstract: The availability of high frequency data for financial instruments has opened the
possibility of accurately determining volatility in small time periods, such as
one day. Recent work on such estimation indicates that it is necessary to treat
the data with a hidden semimartingale model, typically by the addition of
measurement error. We review the emerging theory on this subject, including two-
and multiscale sampling.
Drink, Cake and more are provided.
Wednesday September 14, 2005 at 3:00 PM in SEO 512