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Study on Stock Index Futures’ Mean Reversion Effect and Arbitrage in China Based on High-Frequency Data
CSI 300 Index Future High-Frequency Data Futures-Spot Arbitrage Mean Reversion Effect Mispricing Ratio
2013/2/23
Based on 1 minute high frequency data, this paper constructs no-arbitrage band for CSI300 index futures, and empirically studies the futures-spot arbitrage. Furthermore, the mean reversion and its tim...
Estimation for Lévy processes from high frequency data within a long time interval
Adaptive nonparametric estimation high frequency data L´ evy processes projection estimators power variation
2011/6/17
In this paper, we study nonparametric estimation of the L´evy
density for L´evy processes, with and without Brownian component.
For this, we consider n discrete time observations with st...
Testing for jumps in noisy high frequency data
Semimartingale Testing for jumps High frequency data Market microstructure noise Pre-averaging
2014/3/13
This paper proposes a robustification of the test statistic of Aït-Sahalia and Jacod (2009b) for the presence of market microstructure noise in high frequency data, based on the pre-averaging met...