Dr. Peter Korsbakke Christensen from Aarhus University, Denmark, visited the University of Macau and delivered a presentation

From July 27 to August 2, Dr. Peter Korsbakke Christensen from the Center for Research in Energy: Economics and Markets (CoRE) at Aarhus University, Denmark, visited the University of Macau (UM). His visit featured a seminar on August 1, “Microstructural Foundations for Rough Noise,” which was jointly organized by the Faculty of Business Administration (FBA) and APAEM. The event was hosted by Prof. Jun Yu, UMDF Chair Professor of Finance and Economics and a member of the APAEM Financial Econometrics Team, and Prof. Chen Zhang, Research Assistant Professor of FBA and also a member of the APAEM Financial Econometrics Team.

In the seminar, Dr. Christensen shared his latest research findings with his co-author on the microstructural foundations of rough noise. The research team proposed a microstructural foundation for the rough-noise model, modeling microstructural noise as a continuous-time process whose sample paths are rougher than those of standard Brownian motion. They developed a generalized method of moments (GMM) estimation approach and constructed a formal statistical test to detect the presence of rough noise. The findings provide a new interpretive perspective on the evolution of market liquidity structures and price formation mechanisms.

The seminar received an enthusiastic response, with faculty and students engaging in in-depth discussions with the speaker on issues such as model specification and the applicability boundaries of the testing methods, creating a rich academic atmosphere. The event further strengthened the dialogue and collaboration between UM and international scholars in the field of financial econometrics.