
<WRAP centeralign>##Data Science Seminar##\\ Hosted by Department of Mathematical Sciences</WRAP>

  * Date: Tuesday, November  12, 2019
  * Time: 12:00pm -- 1:00pm
  * Room: WH-100E
  * Speaker: Kexuan Li (Binghamton  University)
  * Title: A Hausman test for the presence of market microstructure noise in high frequency data 


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<WRAP centeralign>**//Abstract//**</WRAP>
In financial markets, high-frequency trading (HFT) is a type of algorithmic trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data and electronic trading tools. In this talk, I will briefly talk about HFT and a Hausman test for the presence of market microstructure noise in high frequency data. This test is published by Yacine Aït-Sahalia, ( Princeton University), and Dacheng Xiu (U of Chicago) in the Journal of Econometrics (2019), which can be found by the following link.

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