Workshop on ‘Volatility, Jumps and Bursts’ (27-28 June 2022)
Lancaster University Management School
Lecture Theatre 2 

June 27 Monday

14:00 – 14:10              Registration
Lancaster University Management School Lecture Theatre 2

14:10 – 14:50              “Intensity Bursts”
Kim Christensen (Aarhus University, Denmark)

14:50 – 15:30              “Cryptocrashes”
Alexei Kolokolov (University of Manchester, UK)

15:30 – 16:00              Coffee break

16:00 – 16:40              “High-Frequency Cross-Market Trading: Model Free Measurement and Applications”
Dobrislav Dobrev (Federal Reserve Board, USA)

18:00                           Dinner
Quite Simply French – by Invitation only

June 28 Tuesday

10:30 – 11:10              “Realized drift”
Roberto Renò (University of Verona, Italy)

11:10 – 11:50              “The Maximal Range-Return Divergence Statistic”
Yifan Li (University of Manchester, UK)

11:50 – 13:00              Lunch

13:00 – 13:40              “Measuring Volatility in Presence of Event Risk”
Viktor Todorov (Northwestern University, USA)

13:40 – 14:20              “Intraday Trading Invariance in the Foreign Exchange Futures Market”
Torben Andersen (Northwestern University, USA)

14:20 – 14:50              Coffee Break

14:50 – 15:30              “Separate noise and jumps from tick data: an easy-to-adopt
Endogenous thresholding approach”
Seok Young Hong (Lancaster University, UK)

15:30 – 16:10              “A dynamic autoregressive model for liquidity (DaRLiq)”
Oliver Linton (University of Cambridge, UK)