This paper puts focus on the hazard function of inter-trade durations to characterize the intraday trading process. It sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which propagate price signals among asymmetrically informed...

This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...

Many securities markets are organized as double auctions where each incoming limit order --- i.e., an order to buy or sell at a specific price --- is stored in a data structure called the limit order book. A trade happens whenever a market order arrives --- i.e., an order to buy or sell at the...

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for two nested portfolio sets based on subsampling and...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...