Aleksey Kolokolov
Biographic Data
| ID | 8920342 |
|---|---|
| NAME | Aleksey Kolokolov |
| GIVEN NAMES | Aleksey |
| FAMILY NAME | Kolokolov |
| SIGNATURE | KOLOKOLOV A |
| AFFILIATIONS | Alliance Manchester Business School, The University of Manchester, Manchester, UK |
| ORCID | 0009-0005-3512-4366 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Drift Bursts in Pure Jumps
This article proposes a new nonparametric test for detecting short-lived locally explosive trends (drift bursts) in pure-jump processes. The new test is designed specifically to detect intraday flash crashes and gradual jumps in cryptocurrency prices recorded at a high frequency. Empirical analysis shows that drift bursts in bitcoin price occur, on average, every second day. Their economic importance is highlighted by showing that hedge funds hol…
Estimating Jump Activity Using Multipower Variation
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether a discretely observed process contains a continuous martingale component. The empirical part of t…
No prominent works on this page.
Estimating Jump Activity Using Multipower Variation
Realized multipower variation, originally introduced to eliminate jumps, can be extremely useful for inference in pure-jump models. This article shows how to build a simple and precise estimator of the jump activity index of a semimartingale observed at a high frequency by comparing different multipowers. The novel methodology allows to infer whether a discretely observed process contains a continuous martingale component. The empirical part of t…
Drift Bursts in Pure Jumps
This article proposes a new nonparametric test for detecting short-lived locally explosive trends (drift bursts) in pure-jump processes. The new test is designed specifically to detect intraday flash crashes and gradual jumps in cryptocurrency prices recorded at a high frequency. Empirical analysis shows that drift bursts in bitcoin price occur, on average, every second day. Their economic importance is highlighted by showing that hedge funds hol…
Complex Systems and Time Series Analysis (2 works) · Jump (2 works) · Physics (2 works) · Statistical physics (2 works) · Stochastic processes and financial applications (2 works) · Applied Mathematics (1 work) · Artificial Intelligence (1 work) · Astronomy (1 work) · Blockchain Technology Applications and Security (1 work) · Brownian motion (1 work)