ABSTRACT In this paper we design a test to detect the arrivals of jumps in asset prices contaminated by market microstructure noise. This test is defined by means of the truncated two-scales realised volatility estimator, recently introduced in Brownlees, Nualart, and Sun [2019, ‘On the Estimation of Integrated Volatility in the Presence of Jumps and Microstructure Noise’, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2791342.], which is a robust estimator of the realised volatility in the presence of price jumps and market microstructure noise. We derive the asymptotic value of the power of the test given the significance level, and provide conditions for the test to be consistent. Simulations show that the test performs satisfactorily when the sampling frequency is high. In particular, we show that the test performs better than some prevalent jump tests. We also provide a real data example to illustrate the proposed method.

中文翻译：

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在存在市场微观结构噪声的情况下检测价格上涨

摘要 在本文中，我们设计了一个测试来检测受市场微观结构噪声污染的资产价格上涨的到来。该测试是通过最近在 Brownlees、Nualart 和 Sun [2019，“存在跳跃和微观结构噪声的情况下对综合波动率的估计”中引入的截断的两尺度已实现波动率估计器定义的，https://papers .ssrn.com/sol3/papers.cfm?abstract_id=2791342.]，这是在存在价格上涨和市场微观结构噪音的情况下对已实现波动率的稳健估计。我们推导出给定显着性水平的检验功效的渐近值，并为检验一致提供条件。仿真表明，当采样频率较高时，测试效果令人满意。特别是，我们表明该测试比一些流行的跳跃测试表现更好。我们还提供了一个真实的数据示例来说明所提出的方法。