学术报告报告题目1：On multi-dimensional time-varying price staleness
报 告 人：刘志 教授 (澳门大学)
报告时间：2021年4月22日（星期四）上午9:30-10:10
报告题目2：Cramer-type moderate deviations for parameter estimations in the non-stationary Ornstein-Uhlenbeck process
报 告 人：蒋辉 教授 (南京航空航天大学)
报告时间：2021年4月22日（星期四）上午10:10-10:50
报告地点：腾讯会议，会议号469 765 246
邀 请 人：王绍臣博士
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数学学院
2021年4月21日
报告摘要1：
The price staleness is referred to as the extent of the presence of the zero returns in the price dynamics. The proportion of the zero returns could be high in the high-frequency data sets, as pointed by Bandi et al. (2020a). Considering the price staleness as a dynamic system too, in this paper, we extend the framework of Bandi et al. (2020b) and study the statistical inference of the idiosyncratic price staleness and systematic price staleness between assets, where the systematic price staleness characterizes the probability of the presence of com- mon zero returns. We propose consistent estimators for both the idiosyncratic and systematic price stalenesses under the new framework, and their distributional theory are established. Moreover, we develop a feasible nonparametric test for the constancy of the systematic price staleness. All of the methodologies are based on the high-frequency observations, namely, we require the observing intervals shrink to zero. Finally, we conduct simulation studies under various scenarios to assess the finite sample performance of the proposed approaches, and provide an empirical illustration for the proposed theory.
报告摘要2：
In this talk, we study the (self-normalized) Cramer-type moderate deviations for parameter estimation in the non-stationary Ornstein-Uhlenbeck process. The main methods include the deviation inequalities for multiple Wiener-It\^{o} integrals, as well as the asymptotic analysis techniques.