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SUMMARY:Fact or Friction: Jumps at Ultra High Frequency - Dr Roel Oomen. D
 eutsche Bank
DTSTART:20120727T100000Z
DTEND:20120727T110000Z
UID:TALK38711@talks.cam.ac.uk
CONTACT:Hugh Christensen
DESCRIPTION:Dr Oomen will speak on high frequency FX spot trading and also
  announce details of an internship in his team.\n\n*Abstract:* In this pap
 er\, we demonstrate that jumps in financial asset prices are not nearly as
  common as generally thought\, and \nthat they account for only a very sma
 ll proportion of total return variation. We base our investigation on an e
 xtensive \nset of ultra high-frequency equity and foreign exchange rate da
 ta recorded at milli-second precision\, allowing us to \nview the price ev
 olution at a microscopic level. We show that both in theory and practice\,
  traditional measures of \njump variation based on low-frequency tick data
  tend to spuriously attribute a burst of volatility to the jump component 
 \nthereby severely overstating the true variation coming from jumps. Indee
 d\, our estimates based on tick data suggest \nthat the jump variation is 
 an order of magnitude smaller. This finding has a number of important impl
 ications for \nasset pricing and risk management and we illustrate this wi
 th a delta hedging example of an option trader that is short \ngamma. Our 
 econometric analysis is build around a pre-averaging theory that allows us
  to work at the highest available \nfrequency\, where the data are pollute
 d by microstructure noise. We extend the theory in a number of directions 
 important \nfor jump estimation and testing. This also reveals that pre-av
 eraging has a built-in robustness property to outliers in \nhigh-frequency
  data\, and allows us to show that some of the few remaining jumps at tick
  frequency are in fact induced \nby data-cleaning routines aimed at removi
 ng the outliers. \n\n*Bio:* Dr Roel Oomen is head of quantitative FX spot 
 e-trading at Deutsche Bank. Roel has a PhD from the European University \n
 Institute\, Florence\, and was previously an associate professor of financ
 e at Warwick Business School. \n\n*Intern Position:* The FX Spot e-trading
  desk at Deutsche Bank has available an internship position for the London
  office. The focus would be on high frequency data and client flow analysi
 s. The internship is for 3 - 6 months\, flexible on start date. Target aud
 ience is graduate students with a strong quantitative background. Familiar
 ity with high frequency data and matlab is an advantage. \n
LOCATION:Lecture Room 3B\, Inglis Building\, Department of Engineering\, T
 rumpington Street
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