注册 投稿
经济金融网 中国经济学教育科研网 中国经济学年会 EFN通讯社

【11月7日】北京:Jumps and Trading Activities in

【本期主题】Jumps and Trading Activities in Interest Rate Futures Markets: The Response to Macroeconomic Announcements

  We apply nonparametric statistical procedures to extract jumps around scheduled macroeconomic news in U.S. Treasury bond, U.S. Treasury note and Eurodollar futures prices from 2001 to 2004. Volatility and trading activity during announcement days with jumps versus no jumps are also analyzed with computerized trade reconstruction (CTR) and time and sales high frequency data. Several interesting results are obtained. First, while jumps often occur during announcement periods, many jumps cannot be associated with macroeconomic news releases. Second, volatility and trading volume are higher during announcement days with jumps than announcement days without jumps. Furthermore, volatility returns to the pre-announcement level faster following scheduled news releases with jumps than after announcements without jumps. Third, we find that price and trading volume are adjusting simultaneously in the first one-minute interval following the announcement. Thus our results do not confirm that there exists a two stage adjustment process for prices and trading volume in interest rate futures following scheduled public news releases.

【报告人】Robert Webb  Paul Tudor Jones II Research Professor

【时 间】11月7日(星期一)中午12:00

【地 点】中国人民大学明德主楼610室

  诚邀您参加。如果您有兴趣,请于11月7日前回复邮件至hanqing.seminar@gmail.com或电话联系,我们将为老师准备午餐。

  联系人:李红梅  62511138

【报告人简介】

  Robert Webb是McIntire School of Commerce的Paul Tudor Jones II Research Professor,同时也是Darden Graduate School of Business, University of Virginia的客座教授。他还拥有Korea Advanced Institute of Science and Technology(KAIST)在汉城的商学院研究所教授的联合任命。同时也是 Journal of Futures Markets的编辑。

  他的经历包括:世界银行投资部固定收益证券的交易顾问;芝加哥商品交易所版面金融期货和期权的交易成员;作为高级金融经济学家,他为芝加哥商品交易所设计了新的金融期货和期权合约;曾在总统行政办公室和管理预算办公室等部门帮助分析了开放金融服务业的的影响;在美国商品期货交易委员会研究与国际期货市场有关的问题;同时也参与了对于马尼拉亚洲开发银行的风险管理问题的咨询工作。他曾在南加州大学商学院任教。他在芝加哥大学获得了工商管理硕士以及博士学位,在美国威斯康星大学获得工商管理学学士学位。他曾在诸多杂志上发表研究成果,其中包括Journal of Econometrics, Journal of Business and Economic Statistics, Journal of Future Markets,和Southern Economic Journal等。他还在The Wall Street Journal, Investor’s Business Daily, Nihon Keizai Shimbun和 Nikkei Weekly上发表了对于当代问题的评价。他同时也编写了书籍Trading Catalysts: How Events Move Markets and Create Trading Opportunities (Financial Times 2007)和Macroeconomic Information and Financial Trading (Blackwell 1994)。

汉青经济与金融高级研究院

文章评论
关注我们

快速入口
回到顶部
深圳网站建设