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Prof. Jing Chen:Flash Crashes, Jumpsand Running Jumps: A New Method for Jump Detection

Publish Date: 2018/05/14 10:34:00    Hits:

On the morning of Friday, May 11, 2018,Professor Jing Chen from Cardiff University was specially invited as thespeaker in the new main building A1039. The topic of this seminar is: FlashCrashes, Jumps and Running Jumps: A New Method for Jump Detection.

At the beginning of the event, the host,Prof. Junhuan Zhang, gave a brief introduction about Prof. Jing Chen andexpressed our warm welcome to her arrival. The seminar was started with thefact that more than one hundred Flash Crashes has happened in the US stockmarket under high-frequency trading since 2010. So, how to detect jump is avery important issue. Prof. Jing Chen gave a detailed description of awell-known method of identifying jumps based on the difference between RealizedVolatility and Bi-power Variation in each trading day. Surprisingly, there isno indication that jumps occurred on flash crash day (May 06, 2010) and similardays by applying the method. The problem is that this method cannot toleratelarge variations in consecutive intervals, which can cause the bi-powervariation to exceed the realized volatility, and consequently leads to afailure to detect jumps. Therefore, Professor Chen proposed a new jumpdetection method based on the daily volatility measure. Prof. Chen also toldthe students that they should be open-minded in scientific research.

At the event site, the postgraduate students from School of Economicsand Management attended this seminar and had a lively and enthusiasticdiscussion. The holding of the next phase of theacademicforum is expected.