报告人：Bing-Yi JING
报告地点：数学与统计学院 501报告厅
报告时间：2010年08月10日 15:00—16:00
邀请人：
报告摘要：
With the availability of high frequency data, we are now able to answer many of the previously unanswered questions. However, the study of high frequency data is made complicated by the presence of jumps and microstructure noise. In this talk, we will discuss some of these challenges and ways to overcome them. In particular, we will illustrate the methods with two important characteristics: integrated volatility and jump activity index.
主讲人简介：
Prof. Bing-Yi JING received his Ph.D. degree in Probability/Statistics from the University of Sydney, Australia, in 1993. He is now a Professor in the Department of Mathematics, Hong Kong University of Science and Technology. He is also a Changjiang Scholar. His main research interests are in probability and statistics, and financial econometrics. He has published over 60 papers in various journals, such as Annals of Stat., JASA, JRSSB, Biometrika, Annals of Prob., Probability Theory and Related Fields, Bernoulli, etc. He serves as Associate Editors for Canadian Journal of Statistics/, and /Journal of Data Science/. He is an elected member of ISI, and members of IMS and ICSA.
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