Financial Valuation and Risk Management Working Paper No . 686 Jumps in High-Frequency Data : Spurious Detections , Dynamics and News
Financial Valuation and Risk Management Working Paper No . 686 Jumps in High-Frequency Data : Spurious Detections , Dynamics and News
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发表时间：
2013
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通讯作者：
Pierre Bajgrowicz;O. Scaillet;A. Treccani
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作者：
Pierre Bajgrowicz;O. Scaillet;A. Treccani
对金融数据集应用跳跃测试可能会导致大量虚假检测。当样本太稀疏时，波动的爆发往往被错误地识别为跳跃。在更高的频率下，需要对微结构噪声具有鲁棒性的方法。我们认为，无论跳跃检测测试和采样频率，一个高度相关的虚假检测的数量仍然是因为多个测试问题。我们提出了一种基于可用测试统计量的显式阈值的正式处理方法。我们证明，我们的方法消除渐近所有剩余的虚假检测。在2006年至2008年的道琼斯股票中，虚假检测可以代表最初检测到的跳跃的90%。对于所考虑的股票，跳跃是罕见的事件，它们不会在时间上聚集，并且没有共同跳跃同时影响所有股票，这表明跳跃风险是可分散的。我们将其余的跳跃与宏观经济新闻，预先发布的公司特定公告以及新闻机构的报道（包括各种未计划和未分类的事件）联系起来。绝大多数消息不会引起跳跃，但可能会产生波动性爆发形式的市场反应。
Applying tests for jumps to financial data sets can lead to an important number of spurious detections. Bursts of volatility are often incorrectly identified as jumps when the sampling is too sparse. At a higher frequency, methods robust to microstructure noise are required. We argue that whatever the jump detection test and the sampling frequency, a highly relevant number of spurious detections remain because of multiple testing issues. We propose a formal treatment based on an explicit thresholding on available test statistics. We prove that our method eliminates asymptotically all remaining spurious detections. In Dow Jones stocks between 2006 and 2008, spurious detections can represent up to 90% of the jumps detected initially. For the stocks considered, jumps are rare events, they do not cluster in time, and no cojump affects all stocks simultaneously, suggesting jump risk is diversifiable. We relate the remaining jumps to macroeconomic news, prescheduled company-specific announcements, and stories from news agencies which include a variety of unscheduled and uncategorized events. The vast majority of news do not cause jumps but may generate a market reaction of the form of bursts of volatility.