Исследование статистически значимых всплесков цен

Abstract

In fact, jumps play a very important role in the distribution of assets and in the risk management. Investors, who are not disposed to risks, will avoid investments with sharp unpredictable movements. Sharp jumps in the price changing process are of big interest for standard arguments, which are oriented to arbitrage operations and especially for the pricing derivatives. It is obvious that not all jumps are easy to identify, that's why the definite statistic methodology is required to identify them. This research investigates the within-day jumps of stocks rates and the number of jumps for certain stock which are estimated with the help of statistic methodology.