Title: Evaluating the underlying components of high-frequency financial data: Finite sample performance and noise
Authors: Rodrigo Hizmeri - University of Liverpool (United Kingdom)
Marwan Izzeldin - Lancaster University Management School (United Kingdom) [presenting]
Abstract: The aim is to examine the finite sample properties of novel theoretical tests that evaluate the presence of: a) Brownian motion, b) jumps; c) finite vs. infinite activity jumps. In allowing for Gaussian, t-distributed, and Gaussian-T mixture noise, our Monte Carlo experiment guides a search for optimal performance across sampling frequencies. Using 100 stocks and SPY, we find that: i) a Brownian and a jump component characterize 1-min stock data; ii) Jumps should allow for both finite and infinite activity; iii) Rejection rates are time-varying, such that more jump days are usually associated with an increase of infinite jumps vis--vis finite jumps.