Jumps with Nonparametric Method In China Stock Markets

Asset price jump is one of the most important and basic issue in Continuous-Time Finance. On the basis of Sahalia, expending the research perspectives from finite activity jump in the issue of information to infinite activity jump in the issue of order successfully, this article corrects the threshold time-varying problem in Sahalia’s new lines of investigation into generalized jump with TMPV method, and discusses the behavioral genotype’s sampling frequency dependency in generalized jump which hasn’t been studied in Sahalia’s research. Further more, this article characterizes the property of jumps under different frequencies, and studies the features of behavioral genotypes of different stocks, and carries out preliminary analysis combined with empirical results.