Haibin Zhu, a Ph.D. student from the Faculty of Science and Technology (FST) of the University of Macau (UM), won the second prize at the Fourth National Academic Forum for Doctoral Students held in Guangzhou recently, marking UM as the only university in Macau to receive the award. Haibin Zhu is a first-year PhD student in the Department of Mathematics under the supervision of Associate Professor Zhi Liu. His main research direction are financial statistics and statistical machine learning.
The paper submitted by Haibin Zhu, titled “On multi-dimensional time varying price staleness” has studied the influence of staleness in securities price data on statistical inference of high-frequency data. This paper proposes a new multi-dimensional time-varying price staleness index, and deduces various statistical properties of the proposed index from the perspective of stochastic process, and successfully captures the deviation caused by the zero observations, and therefore improve the precision for the inference of volatility.
The National Academic Forum for Ph.D. Students in Statistics is sponsored by the Chinese Statistics Research Association and is held every two years. The forum aims to strengthen academic exchanges among doctoral students in statistics in higher education institutions across the country. This is the fourth conference, co-organized by the Guangdong Statistics Association and undertaken by the School of Economics and Statistics, Guangzhou University. It was held in Guangzhou in November 2020. The conference has attracted more than 100 Ph.D. students from well-known universities such as Tsinghua University, Peking University, Chinese Academy of Sciences, Fudan University, Sun Yat-sen University, Southern University of Science and Technology, etc.
朱海斌本次提交的論文題目為“On multi-dimensional time varying price staleness”，主要研究證券價格數據中遲滯現象對高頻數據統計推斷的影響。文章提出了一種新的多元時變的價格遲滯指標，從隨機過程角度推導了該指標的各種統計性質，成功捕獲了高頻數據因帶有遲滯現象而對其統計推斷造成的偏差，從而得到了波動率的精確估計。