We performed an extensive simulation study to compare the relative performance of many price-jump indicators with respect to false positive and false negative probabilities. We simulated twenty different time series specifications with different intraday noise volatility patterns and price-jump...

In this paper, we propose a novel entropy-based resampling scheme valid for non-stationary data. In particular, we identify the reason for the failure of the original entropy-based algorithm of Vinod and Lopez-de Lacalle (2009) to be the perfect rank correlation between the actual and...