- Date: 23 Mar. (Thu.)
- Place: W.W. 6th-floor, Colloquium Room and on the Web (Zoom)
- Time: 15:30 – 19:00

Part 1: 15:30 PM – 17:00 PM

- Speaker: Tommaso Mariotti (Scuola Normale Superiore di Pisa)
- Title: Financial econometrics in high-frequency data
- Abstract:

The rise of high-frequency data opened new opportunity, but at the same time poses new challenges in the last decades. Focusing in particular on non-parametric estimation of volatility of stochastic processes, the presence of market microstructure noise is analysed, considering its influence on the consistency of traditional non-parametric estimators such as the realized volatility. Several models for noise are presented, considering their connections with the microstructure models presented in the previous talk. Consistent estimation of volatility in presence of noise is discussed, together with the issue of assessing the presence of noise in financial data. The presence of jumps is discussed analogously, presenting techniques to spot and manage discontinuities in the data while performing volatility estimation.

Part 2: 17:30 – 19:00

- Speaker: Ngo Hoang Long (Hanoi National University of Education)
- Title:Simulation of McKean-Vlasov SDE’s
- Abstract:

In this talk, we introduce a tamed-adaptive approximation scheme for McKean-Vlasov SDEs with super-linear coefficients.

We consider the rates of convergence of the new scheme in $L^p$-norm on both finite and infinite time intervals.