Physical Sciences and Mathematics Commons^™

Statistical Analysis Of The Price Jumps Of Financial Assets Based On Lob Data, Ying Zhuang

Arts & Sciences Electronic Theses and Dissertations

The price process in electronic markets is one prototypical example of a stochastic process, and it has historically be fitted and analyzed using different stochastic models such as Levy processes, diffusions, and SDEs (stochastic differential equations). In this thesis, we analyze Microsoft stock data in 2014-11-03 with the goal of studying the presence of jumps based on Limit Order Book (LOB) data. To this end, we divide the whole day’s data into many consecutive intervals and proceed to apply a jump detection method to identify the intervals that could potentially have jumps. After obtaining the intervals with potential jumps, we …