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Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
高频双因子模型 微结构 噪声公因数 效率价格 估计
2023/4/17
We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
Volatility Inference in the Presence of Both Endogenous Time and Microstructure Noise
It^o Process Realized Volatility Integrated Volatility Time Endogeneity Market Microstructure Noise
2013/5/2
In this article we consider the volatility inference in the presence of both market microstructure noise and endogenous time. Estimators of the integrated volatility in such a setting are proposed, an...
Statistical causes for the Epps effect in microstructure noise
Statistical Epps effect microstructure noise
2010/10/21
We present two statistical causes for the distortion of correlations on high-frequency financial data. We demonstrate that the asynchrony of trades as well as the decimalization of stock prices has a...
Lower bounds for volatility estimation in microstructure noise models
Brownian motion Variance estimation Kullback-Leibler divergence Minimaxrate Microstructure noise
2010/3/10
In this paper we derive lower bounds in minimax sense for estimation of the instantaneous
volatility if the diffusion type part cannot be observed directly but under
some additional Gaussian noise. ...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Asymptotic equivalence volatility estimation microstructure noise
2010/10/18
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatility estimation Le Cam defciency equivalence of experiments Gaussianshift
2010/4/27
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sens...
Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
High-frequency data integrated volatility spot volatilityestimation Le Cam deficiency equivalence of experiments
2010/3/9
The basic model for high-frequency data in finance is considered,
where an efficient price process is observed under microstructure noise.
It is shown that this nonparametric model is in Le Cam’s se...
High frequency market microstructure noise estimates and liquidity measures
High frequency market microstructure noise estimates and liquidity measures
2010/11/1
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...
HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES
Market microstructure noise robust volatility estimation high frequency data liquidity stock returns
2014/3/13
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
Continuous-Time Process iin the Presence of Market Microstructure Noise
2014/3/13
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however,we show that the optimal sampl...