Mathematical Finance/Financial Engineering Seminar
Tuesday, October 13, 2009 - 3:00pm
1 hour (actually 50 minutes)
We propose a new two stage semi-parametric test and estimation procedure to investigate predictability of stochastic jump arrivals in asset prices. It allows us to search for conditional information that affects the likelihood of jump occurrences up to the intra-day levels so that usual factor analysis for jump dynamics can be achieved. Based on the new theory of inference, we find empirical evidence of jump clustering in U.S. individual equity markets during normal trading hours. We also present other intra-day jump predictors such as analysts recommendation updates and stock news releases.