TITLE:
The Long Memory of the Jump Intensity of the Price Process
AUTHORS:
Yizhuang Tian, Dongyang Shi, Handong Li
KEYWORDS:
Price Jump, Self-Motivated, Jump Intensity, Hurst Index, Long Memory
JOURNAL NAME:
Journal of Mathematical Finance,
Vol.11 No.2,
April
1,
2021
ABSTRACT: The impact of successive jumps in price process
on volatility is very important. We study the nature of self-motivation in
price process using data from China’s stock market. Our empirical results
suggest that: 1) Price jumps in China’s stock market are generally
self-motivated, i.e., price jumps are clustering. 2) The jump intensity of
China’s stock market is time-varying, and follows log-normal distribution,
which indicates that the jump intensity is asymmetrical. 3) The jump
intensities’ sequence exhibits typical long memory.