{"id":13,"date":"2022-03-23T15:47:52","date_gmt":"2022-03-23T15:47:52","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/vjb2022\/?page_id=13"},"modified":"2022-06-10T16:04:54","modified_gmt":"2022-06-10T16:04:54","slug":"programme","status":"publish","type":"page","link":"https:\/\/wp.lancs.ac.uk\/vjb2022\/","title":{"rendered":"Programme"},"content":{"rendered":"

Workshop on \u2018Volatility, Jumps and Bursts\u2019 (27-28 June 2022)
\n<\/strong>Lancaster University Management School
\n<\/strong>Lecture Theatre 2<\/strong>\u00a0<\/strong><\/p>\n

June 27 Monday<\/u><\/strong><\/p>\n

14:00 \u2013 14:10\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Registration
\nLancaster University Management School Lecture Theatre 2<\/em><\/p>\n

14:10 \u2013 14:50\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cIntensity Bursts\u201d
\n<\/em>Kim Christensen<\/strong> (Aarhus University, Denmark)<\/p>\n

14:50 \u2013 15:30\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cCryptocrashes\u201d
\n<\/em>Alexei Kolokolov<\/strong> (University of Manchester, UK)<\/p>\n

15:30 \u2013 16:00\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Coffee break<\/p>\n

16:00 \u2013 16:40\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cHigh-Frequency Cross-Market Trading: Model Free Measurement <\/em>and Applications\u201d
\n<\/em>Dobrislav Dobrev<\/strong> (Federal Reserve Board, USA)<\/p>\n

18:00\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Dinner
\nQuite Simply French – by Invitation only<\/p>\n

 <\/p>\n

June 28 Tuesday<\/u><\/strong><\/p>\n

10:30 \u2013 11:10 \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cRealized drift\u201d
\n<\/em>Roberto Ren\u00f2<\/strong> (University of Verona, Italy)<\/p>\n

11:10 \u2013 11:50 \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 <\/em>\u201cThe Maximal Range-Return Divergence Statistic\u201d
\n<\/em>Yifan Li<\/strong> (University of Manchester, UK)<\/p>\n

11:50 \u2013 13:00\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Lunch<\/p>\n

13:00 \u2013 13:40\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cMeasuring Volatility in Presence of Event Risk\u201d
\n<\/em>Viktor Todorov<\/strong> (Northwestern University, USA)<\/u><\/p>\n

13:40 \u2013 14:20\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201c<\/em>Intraday Trading Invariance in the Foreign Exchange Futures Market<\/em>\u201d
\n<\/em>Torben Andersen<\/strong> (Northwestern University, USA)<\/p>\n

14:20 \u2013 14:50\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Coffee Break<\/p>\n

14:50 \u2013 15:30 \u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 <\/em>\u201cSeparate noise and jumps from tick data: an easy-to-adopt
\n<\/em>Endogenous thresholding approach\u201d
\n<\/em>Seok Young Hong<\/strong> (Lancaster University, UK)<\/p>\n

15:30 \u2013 16:10\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 “A dynamic autoregressive model for liquidity (DaRLiq)”
\n<\/em>Oliver Linton<\/strong> (University of Cambridge, UK)<\/p>\n

 <\/p>\n

 <\/p>\n

 <\/p>\n","protected":false},"excerpt":{"rendered":"

Workshop on \u2018Volatility, Jumps and Bursts\u2019 (27-28 June 2022) Lancaster University Management School Lecture Theatre 2\u00a0 June 27 Monday 14:00 \u2013 14:10\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 Registration Lancaster University Management School Lecture Theatre 2 14:10 \u2013 14:50\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0\u00a0 \u201cIntensity Bursts\u201d Kim Christensen (Aarhus University, Denmark) … Continue reading →<\/span><\/a><\/p>\n","protected":false},"author":871,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-13","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/pages\/13","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/users\/871"}],"replies":[{"embeddable":true,"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/comments?post=13"}],"version-history":[{"count":6,"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/pages\/13\/revisions"}],"predecessor-version":[{"id":92,"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/pages\/13\/revisions\/92"}],"wp:attachment":[{"href":"https:\/\/wp.lancs.ac.uk\/vjb2022\/wp-json\/wp\/v2\/media?parent=13"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}