High frequency statistics of semimartingales

In this talk we present a short survey about limit theorems for high frequency functionals of semimartingales and their statistical applications. This mathematical field was popularized by Jean Jacod in the middle of 90’s and it found manifold applications in mathematical finance. We review the basic probabilistic ideas and try to understand the non-classical statistical nature of high frequency data. We demonstrate some of the most popular statistical applications of the asymptotic theory.

• Speaker: Mark Podolskij (Aarhus)
• Friday 17 February 2017, 16:00–17:00
• Venue: MR12, Centre for Mathematical Sciences, Wilberforce Road, Cambridge..
• Series: Statistics; organiser: Quentin Berthet.