论文标题：Detecting price jumps in the presence of market microstructure noise

　　发表时间：2019

　　论文所有作者：Yucheng Sun

　　期刊名及所属分类：Journal of Nonparametric Statistics(国际C)

　　英文摘要：In this paper we design a test to detect the arrivals of jumps in asset prices contaminated by market microstructure noise. This test is defined by means of the truncated two-scales realised volatility estimator, recently introduced in Brownlees, Nualart, and Sun [2019, ‘On the Estimation of Integrated Volatility in the Presence of Jumps and Microstructure Noise’, https://papers.ssrn.com/sol3/papers.cfm?abstract_id="2791342" .], which is a robust estimator of the realised volatility in the presence of price jumps and market microstructure noise. We derive the asymptotic value of the power of the test given the significance level, and provide conditions for the test to be consistent. Simulations show that the test performs satisfactorily when the sampling frequency is high. In particular, we show that the test performs better than some prevalent jump tests. We also provide a real data example to illustrate the proposed method.

　　中文摘要：在本文中，我们设计了一个测试来检测受市场微观结构噪声污染的资产价格的跳跃到达。该检验是通过截短的两尺度实现的波动估计器来定义的，最近在Brownlees、Nualart和Sun中引入[2019，‘在存在跳跃和微观结构噪声的情况下的综合波动估计’，https://papers.ssrn.com/sol3/papers.cfm?abstract_id="2791342" .]是存在价格跳跃和市场微观结构噪声时实现波动的稳健估计。在显著性水平下，给出了检验幂的渐近值，并给出了检验一致的条件。仿真结果表明，当采样频率较高时，测试结果令人满意。特别地，我们展示了该测试比一些流行的跳转测试性能更好。我们还提供了一个实例来说明所提出的方法。