太阳成集团tyc234cc古天乐江苏高校优势学科概率统计前沿系列讲座之二十三

报 告 人：王亚珍  教授

报告题目：Modeling and Analyzing High-Frequency Financial Data

报告时间：2014年6月25日（周三）上午10:00

报告地点：静远楼1506学术报告厅

报告摘要：Volatilities of asset returns are central to the theory and practice of asset pricing, portfolio allocation, and risk management. In financial economics, there is extensive research on modeling and forecasting volatility up to the daily level based on Black-Scholes, diffusion, GARCH, stochastic volatility models and implied volatilities from option prices. Nowadays, thanks to technological innovations, high-frequency financial data are available for a host of different financial instruments on markets of all locations and at scales like individual bids to buy and sell, and the full distribution of such bids. The availability of high-frequency data stimulates an upsurge interest in statistical research on better estimation of volatility.This talk will start with a review on low-frequency financial time series and high-frequency financial data. Then I will introduce popular realized volatility computed from high-frequency financial data and present my work on large volatility matrix estimation

王亚珍教授简介：

威斯康辛大学麦迪逊分校统计学教授，1987毕业于华东师范大学，先后获学士和硕士学位，1992获加州大学伯克利分校博士学位。主要从事金融统计、高频交易、量子压缩传感、量子计算和量子模拟、小波、非参数平滑、变更点，长记忆过程和受限制的统计推断等方面的研究。现为国际数理统计学会成员、美国统计学会会士。先后任密苏里大学哥伦比亚分校统计系副教授、康涅狄格大学统计系副教授和教授、上海财经大学特聘教授。Stat. Interface主编，JASA、Ann. Statist.、Ann. Appl. Stat.、J. Bus. Econom. Statist.、Statist. Sinica、Econom. J.等杂志副主编，先后主持美国国家基金会、美国国立卫生研究院、美国国家安全局资助项目等科研项目9项。