Department of Mathematics and Statistics, Binghamton University

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seminars:stat:03262015 [2015/03/25 13:47] – qiaoseminars:stat:03262015 [2015/03/25 13:47] (current) – qiao
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 +<WRAP centeralign>##Statistics Seminar##\\ Department of Mathematical Sciences</WRAP>
  
 +~~META:title =March 26, 2015~~
 +<WRAP 70% center>
 +^  **DATE:**|Thursday, March 26, 2015 |
 +^  **TIME:**|1:15pm to 2:15pm |
 +^  **LOCATION:**|WH 100E |
 +^  **SPEAKER:**|Fangfang Wang (University of Illinois at Chicago) |
 +^  **TITLE:**|Realized periodogram-based estimation of integrated volatility in the presence of microstructure noise |
 +</WRAP>
 +\\ 
 +
 +<WRAP center box 80%>
 +<WRAP centeralign>**Abstract**</WRAP>
 +We propose an unbiased measure of ex-post price variation in the
 +frequency domain. It is periodogram-based. When intraday prices are
 +contaminated by market microstructure noise, the proposed estimator
 +behaves like a filter: it removes the noise by filtering out high
 +frequency periodograms. In other words, the proposed estimator converts
 +the high frequency data into low frequency periodograms. We show, via a
 +simulation study and an application to Microsoft transaction prices, that
 +the proposed estimator is insensitive to the choice of sampling frequency
 +and it is competitive with other existing noise-corrected volatility
 +measures.
 +</WRAP>
 +
 +<WRAP center 80%>
 +**Speaker Biography**: Fangfang Wang is an Assistant Professor of //Information and Decision Sciences// at the //University of Illinois at Chicago, Liautaud Graduate School of Business//. Her research interest includes time series, financial risk management, mathematical finance and empirical finance.
 +</WRAP>
 +
 +<WRAP center 60%>
 +^  Itinerary  ||
 +| 09:30 - 10:00|Meeting with A.P. | 
 +| 10:00 - 10:30|Meeting with G.S. |
 +| 10:30 - 11:15 |Meeting with Q.Q.Y. |
 +| 11:50 - 1:00|Lunch with Math faculty (Chenango Room) |
 +| 1:15 - 2:15|Seminar talk |
 +| 2:30 - 3:00|Meeting with G.G.X.|
 +| 3:00 - 3:30|Meeting with W.D.M.|
 +| 3:30 - 5:30|OPEN|
 +| 5:30 - 7:30|Dinner|
 +</WRAP>