Torben G. Andersen, Viktor Todorov, Bo Zhou
arXiv 20 Jul 2023 · Econometrics · publishedQuantitative Economics (2025) · 2 citations (OpenAlex)
arXiv:2307.10872 · PDF · DOI · OpenAlex · Extracted main text
This paper focuses on the task of detecting local episodes involving violation of the standard It\^o semimartingale assumption for financial asset prices in real time that might induce arbitrage opportunities. Our proposed detectors, defined as stopping rules, are applied sequentially to continually incoming high-frequency data. We show that they are asymptotically exponentially distributed in the absence of Ito semimartingale violations. On the other hand, when a violation occurs, we can achieve immediate detection under infill asymptotics. A Monte Carlo study demonstrates that the asymptotic results provide a good approximation to the finite-sample behavior of the sequential detectors. An empirical application to S&P 500 index futures data corroborates the effectiveness of our detectors in swiftly identifying the emergence of an extreme return persistence episode in real time.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Andersen, T. G., Li, Y., Todorov, V., and Zhou, B (2021) Volatility measurement with pockets of extreme return persistence self | 1.000 | 5 | 3 | 100% |
| 2 | Todorov, V (2019) Nonparametric spot volatility from options self | 0.928 | 4 | 3 | 100% |
| 3 | Christensen, K., Oomen, R., and Renò, R (2022) The drift burst hypothesis | 0.811 | 4 | 2 | 100% |
| 4 | Siegmund, D. and Venkatraman, E (1995) Using the generalized likelihood ratio statistic for sequential detection of a change-point | 0.754 | 7 | 3 | 43% |
| 5 | Lai, T. L (1995) Sequential changepoint detection in quality control and dynamical systems | 0.737 | 3 | 2 | 100% |
| 6 | Lorden, G (1971) Procedures for reacting to a change in distribution | 0.644 | 2 | 2 | 100% |
| 7 | Phillips, P. C. and Yu, J (2011) Dating the timeline of financial bubbles during the subprime crisis | 0.644 | 2 | 2 | 100% |
| 8 | Phillips, P. C., Wu, Y., and Yu, J (2011) Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? | 0.644 | 2 | 2 | 100% |
| 9 | Phillips, P. C., Shi, S., and Yu, J (2015) b), Testing for multiple bubbles: Limit theory of real-time detectors | 0.644 | 2 | 2 | 100% |
| 10 | Siegmund, D (1988) Approximate tail probabilities for the maxima of some random fields | 0.511 | 3 | 2 | 33% |
Showing the top 10 of 56 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Testing for an Explosive Bubble using High-Frequency Volatility | 0.644 | 4 | 1 |