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SUMMARY:High frequency statistics of semimartingales - Mark Podolskij (Aar
 hus)
DTSTART:20170217T160000Z
DTEND:20170217T170000Z
UID:TALK70612@talks.cam.ac.uk
CONTACT:Quentin Berthet
DESCRIPTION:In this talk we present a short survey about limit theorems fo
 r high frequency functionals of semimartingales and their statistical appl
 ications. This mathematical field was popularized by Jean Jacod in the mid
 dle of 90's and it found manifold applications in mathematical finance. We
  review the basic probabilistic ideas and try to understand the non-classi
 cal statistical nature of high frequency data. We demonstrate some of the 
 most popular statistical applications of the asymptotic theory.
LOCATION:MR12\, Centre for Mathematical Sciences\, Wilberforce Road\, Camb
 ridge.
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