CORDIS Project
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This project examines extreme price movements in financial markets using high-frequency data. It develops new methodologies to identify price jumps and analyze market dynamics, enhancing understanding of information spread and market stability.
The proposed project studies the dynamics of extreme price movements, or price jumps, using high-frequency data of financial assets.
In the first stage of the project, fellow address the issues of price jump indicators in the multivariate context as opposed the univariate price jump indicators dominating the literature.
Then, he will compare his indicators with those in the literature using Monte Carlo analysis as well as real data.
In the second stage, he focuses on the price jump dynamics meth…
CITY UNIVERSITY OF LONDON
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