Holder： Jia Li（Singapore Management University）
Time：2025-02-27 15:10-17:00
Location：Room 217, Guanghua Building 2
Abstract:
Building on time-honored ideas from technical analysis, we propose a simple new test, termed the Marubozu test, for detecting abrupt asset price changes over short time intervals based on the information embedded in readily available high-frequency candlesticks. Using an infill asymptotic framework, combined with a novel coupling-based method, we show that the test is correctly sized and optimal, or nearly so, against a variety of empirically plausible alternatives. Underscoring the practical relevance of the test, we demonstrate its ability to illuminate significant economic shocks triggered by specific statements made by the Fed chair in post-FOMC announcement press conferences.
About the Speaker:
Professor Jia LI is the Dean of School of Economics and Lee Kong Chian Professor of Economics at Singapore Management University. He graduated with a PhD in Economics from Princeton University and started his academic career at Duke University as Assistant Professor of Economics in 2011. Subsequently, he attained his full professorship at Duke University in 2020 before joining SMU in 2021 as a full tenured Professor of Economics.
Jia is an accomplished academic whose research interest lies in econometrics with a specialisation in financial applications. He has published extensively in leading economics, statistics, probability and finance journals such as American Economic Review, Econometrica, Review of Economic Studies, Annals of Statistics, Journal of the American Statistical Association and Annals of Applied Probability. He is internationally recognised as a leading scholar in Econometrics as reflected in his editorial roles in a number of leading journals including as Co-Editor, Econometrics Theory since 2021, Associate Editor, Econometrica since 2018, Associate Editor, Journal of Financial Econometrics, Journal of Business and Economic Statistics and Journal of Econometrics since 2017.
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