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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 ...
Reserve price auctions are one of hot research issues in traditional auctiontheory. Here we study the starting price in an online auction, the counterpart of thepublic reserve price in a traditional a...
The difficulty in crude oil price forecasting, due to inherent complexity, hasattracted much attention of academic researchers and business practitioners. Variousmethods have been tried to solve the p...