Speaker: Dr Shixuan Wang (University of Reading)
Hosted by: University of Liverpool Management School's Economics Group
Open to: Management School PhD students and academic staff, with no sign up needed
Date: Wednesday 24 April 2024
Time: 2-3.15pm
Place: Sherrington Building, Ashton Street - Seminar Room 1
Abstract
We develop theory leading to testing procedures for the presence of a change point in the intraday volatility pattern.
The new theory is developed in the framework of Functional Data Analysis. It is based on a model akin to the stochastic volatility model for scalar point-to-point returns.
In our context, we study intraday curves, one curve per trading day.
After postulating a suitable model for such functional data, we present three tests focusing, respectively, on changes in the shape, the magnitude and arbitrary changes in the sequences of the curves of interest.
We justify the respective procedures by showing that they have asymptotically correct size and by deriving consistency rates for all tests.
These rates involve the sample size (the number of trading days) and the grid size (the number of observations per day).
We also derive the corresponding change point estimators and their consistency rates.
All procedures are additionally validated by a simulation study and an application to US stocks.
Speaker
Shixuan is an Associate Professor at the University of Reading.
His main research focuses on the econometrics of change-points (structural breaks), functional data analysis, and empirical applications of those in macroeconomics and finance.
Additionally, Shixuan is also interested in using techniques of data analytics and machine learning for operations management.
His research has been published in Annals of Statistics, Journal of Econometrics, Journal of Business & Economic Statistics, European Journal of Operational Research, among others.
Before joining the University of Reading in 2018, he was a postdoctoral research associate in statistical forecasting at Cardiff Business School, Cardiff University, where he worked on an Engineering and Physical Sciences Research Council (EPSRC) project.
In 2017, he received his PhD degree from the University of Birmingham, where he was funded by the Economic and Social Research Council (ESRC).
In 2016, he was awarded a Royal Economic Society (RES) junior fellowship.
He currently serves as an Associate Editor of the International Journal of Finance and Economics (Wiley) which has an Association of Business Schools 3* ranking.
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