認定與刻劃價格跳躍的新方法

A New Approach for Identification and Characterization of Price Jumps

This paper proposes a newly-developed jump test based on the order statistics from intraday returns to identify thedirection and magnitude of jumps. Our identification strategy, as suggested in the recent high-frequency finance, hinges onthe local Gaussianity of the intraday return distribution in absence of jumps. Our test allows for an operational thresholdin examining and characterizing a potential spectrum of jump sizes with signs. Besides its better statistical size and powerproperties, our numerical results demonstrate its robustness to the threshold, market microstructure noises, and theunderlying stochastic volatility; our empirical evidence delivers several interesting and meaningful points. First, thenumbers of identified positive and negative jumps are significantly different in their intensities and sizes, respectively. Wefind that jumps come in clusters and such clustering patterns can be linked to forward looking variables such as VIX.Moreover, by varying the operational threshold, our jump test allows us to sketch a rough picture understanding variousfeatures of finite-activity jumps. Finally, we observe asymmetries in the intensities as well as the jump-contributed pricevariations between the positive and negative ones. Given these observations, we expect this jump test to be potentiallyuseful in investments or risk management.