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seminars:datasci:191112 [2019/11/08 17:39] – created qyuseminars:datasci:191112 [2019/11/08 17:41] (current) – qyu
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 +<WRAP centeralign>##Data Science Seminar##\\ Hosted by Department of Mathematical Sciences</WRAP>
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 +  * Date: Tuesday, November  12, 2019
 +  * Time: 12:00pm -- 1:00pm
 +  * Room: WH-100E
 +  * Speaker: Kexuan Li (Binghamton  University)
 +  * Title: A Hausman test for the presence of market microstructure noise in high frequency data 
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 +<WRAP centeralign>**//Abstract//**</WRAP>
 +In financial markets, high-frequency trading (HFT) is a type of algorithmic trading characterized by high speeds, high turnover rates, and high order-to-trade ratios that leverages high-frequency financial data and electronic trading tools. In this talk, I will briefly talk about HFT and a Hausman test for the presence of market microstructure noise in high frequency data. This test is published by Yacine Aït-Sahalia, ( Princeton University), and Dacheng Xiu (U of Chicago) in the Journal of Econometrics (2019), which can be found by the following link.
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 +</WRAP>