Hermann Otto Hirschfeld Lecture 2008

Jumps and Volatility in High Frequency Financial Data

CASE-Logo Wiwi-gesellschaft-Logo

Yacine Ait-Sahalia

Department of Economics and Bendheim Center for Finance
Princeton University


October 16 - 17, 2008

Location

Heilig-Geist-Kapelle
Wirtschaftswissenschaftliche Fakultät
Humboldt-Universität zu Berlin
Spandauer Strasse 1
D-10178 Berlin

Topics


These lectures will discuss recent developments in the econometrics of high frequency financial data. Some of the questions to be addressed include testing for the presence of jumps, estimating the degree of activity of infinitely active jumps, distinguishing jumps from volatility and the impact of market microstructure noise in tick-by-tick transaction and quotes data.

The topics to be covered are expected to include:


1. Stochastic Preliminaries: Levy and Other Jump Processes

2. Testing for Jumps in Financial Data

3. Estimating the Degree of Activity of Jumps in Financial Data

4. Volatility Estimation in the Presence of Market Microstructure Noise

5. Volatility vs. Jumps

Schedule

October 16, 2008

October 17, 2008


14:00 - 14:15
14:15 - 15:00
15:00 - 16:30
16:30 - 17:00
17:00 - 18:30


Official welcome
"In memoriam HOH"
Lecture 1
Break
Lecture 2


09:00 - 10:30
10:30 - 11:00
11:00 - 12:30
12:30 - 14:30
14:30 - 16:00


Lecture 3
Break
Lecture 4
Lunch
Lecture 5

Participants

Anton Andriyashin HU Berlin
Stefan Ankirchner HU Berlin
Peter Bank QP Lab/ TU Berlin
Marcin Bartkowiak The Poznan University of Economics
Daniel Bartz QP Lab / TU Berlin
Christoph Baumgarten TU Berlin
Denis Belomestny WIAS
Joachim Benatzky University of Duisburg-Essen
Markus Bibinger HU Berlin
Almut Mirjam Birsner DB/ QP Lab
Oliver Blaskowitz HU Berlin
Philippe Bouzaglou Harvard University / HU Berlin
Roman Brückner HU Berlin
Adrian Dominik Buß University Frankfurt
Ji Cao HU Berlin
Gökhan Cebiroglu QPL / HU Berlin
Hui Chen HU Berlin
Barbara Choros HU Berlin
Sören Christensen Christian-Albrechts-Universität zu Kiel
Anna Cieslak University of St. Gallen
Jose Cristobal University of Zaragoza
Thomas Dimpfl Universität Erfurt
Jasmina Djordjevic University of Nis
Bernd Droge HU Berlin
Jiri Dvorak Charles University Prague
Siamac Fazli Fraunhofer Institut FIRST
Matthias Fengler Sal. Oppenheim
Jakob Fiedler HU Berlin
Antje Fruth QP Lab / TU Berlin
Vladimir Georgescu HU Berlin
Franca Glenzer HU Berlin
Arie Eskenazi Gozluklu Bocconi University
Maria Grith HU Berlin
Axel Gross-Klussmann QP Lab / HU Berlin
Christine Gruen QP Lab / TU Berlin
Mengmeng Guo HU Berlin
Alexandra Hansis Goethe University Frankfurt
Wolfgang Härdle HU Berlin
Nikolaus Hautsch HU Berlin
Sha He Goethe University Frankfurt
Sebastian Heiden Universität Augsburg
Claudia Hein HU Berlin
Hartmuth Henkel QP Lab / HU Berlin
Rodrigo Herrera TU Dresden
Dietmar Hillebrand Landesbank Berlin
Ulrich Horst QP Lab/ HU Berlin
Matthias Höschel HU Berlin
Marcel Höschler QP Lab / TU Berlin
Ruihong Huang QP Lab / HU Berlin
Katja Ignatieva Frankfurt University
Albrecht Irle Universität Kiel
Ilya Ivanov HU Berlin
Jian Jiang University of Essex
Johanna Kappus HU Berlin
Kerstin Kehrle Universität Tübingen
Klebert Kentia Berlin Mathematical School
Pawel Kliber Poznan University of Economics
Lars Philipp Kremkow HU Berlin
Katja Krol HU Berlin
Joanna Kusznier HU Berlin
Patrick Lehmann HU Berlin
Junye Li Bocconi University
Rafal Lochowsk Warsaw School of Economics
Brenda Lopez Cabrera HU Berlin
Hilmar Mai HU Berlin
Christoph Meinerding Westfälische Wilhelms-Universität Münster
Andrija Mihoci HU Berlin
Markus Mocha QP Lab / HU Berlin
Santiago Moreno HU Berlin
Julius Mungo HU Berlin
Alena Mysickova HU Berlin
Felix Naujokat HU Berlin
Jan Christoph Neddermeyer University of Heidelberg
Frank Neumann HU Berlin
Iryna Okhrin Stiftung Europa-Universität Viadrina
Ostap Okhrin HU Berlin
Pilar Olave University of Zaragoza
Grothe Oliver University of Cologne
Christian Otuteye Ghana Institute of Management and Public Administration
Michael Paulsen QP Lab / HU Berlin
Pavol Pavola University of St. Gallen
Piotr Pluciennik Adam Mickiewicz University
Thomas Pöche HU Berlin
Klime Poposki University St.Kliment Ohridski
Dimitri Reiswich Frankfurt School of Finance and Management
Anthony Reveillac HU Berlin
Lars Rohrschneider LSKN
Julia Schaumburg HU Berlin
Friedrich Schmid Universitaet zu Koeln
Johannes Schmidt-Hieber Georg-August Universität
Jochen Schmitz University Halle
Olga Sedova Westfäliche Wilhelms-Universität Münster
Song Song HU Berlin
Stephan Stahlschmidt HU Berlin
Michael Stauch HU Berlin
Andrea Tamoni Bocconi University
Roman Timofeev HU Berlin
Bjoern Uhl Bocconi University
Mikhail Urusov TU Berlin
Thomas Vanck TU Berlin
Annette Vogt Max Planck Institute
Clemens Völkert Westfäliche Wilhelms-Universität Münster
Joerg Vorbrink University Bielefeld
Martin Wahl HU Berlin
Ulrike Waletzki Landesbank Berlin
Olli Wallin QPL / TU-Berlin
Ulrich Weikard Landesbank Berlin
Christian Wiehenkamp Goethe Universität Frankfurt
Jan Wrampelmeyer University of Zürich
Yajun Xiao University of Frankfurt
Serkan Yener LMU München
Jianing Zhang HU Berlin
Parham Zolfaghari BNP Paribas
Bernhard Zwergel Universität Augsburg

Enrolment

Please enrole via our online enrolment tool. The participation is free thanks to the sponsoring from the Wirtschaftswissenschaftliche Gesellschaft and Quantitative Products Laboratory. This lecture is jointly organised by CASE and QPL. For further details please contact us at:


CASE - Center for Applied Statistics and Economics
Humboldt-Universität zu Berlin
Wirtschaftswissenschaftliche Fakultät
Spandauer Str. 1
10178 Berlin


Tel: +49(0)30-2093-5630
Fax: +49(0)30-2093-5649
stat@wiwi.hu-berlin.de


QPL - Quantitative Products Laboratory
Deutsche Bank AG
Global Markets Equity
Alexanderstr. 5
10178 Berlin


Tel: +49(0)30-3407-5502
Fax: +49(0)30-3407-1763
Ulrich.Horst@db.com