Pierre Bajgrowicz

We propose a technique to avoid spurious detections of jumps in highfrequency data via an explicit thresholding on available test statistics

Pierre Bajgrowicz, Olivier Scaillet, 2011 .

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Pierre Bajgrowicz, Olivier Scaillet, Adrien Treccani, 2015, Manag. Sci..

Detecting spurious jumps in high-frequency data ∗

Pierre Bajgrowicz, Olivier Scaillet, O. Scaillet, 2009 .

Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

Pierre Bajgrowicz, O. Scaillet, O. Scaillet, 2011 .