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Found 6 papers, 2 papers with code
Consistent Estimation of the High-Dimensional Efficient Frontier
It is shown that two out of three quantities of interest are biased and overestimated by their sample counterparts under the high-dimensional asymptotic regime.
Jump detection in high-frequency order prices
Different to the classical model of additive, centered market microstructure noise, we consider one-sided microstructure noise for order prices in a limit order book.
HARNet: A Convolutional Neural Network for Realized Volatility Forecasting
HARNets allow for an explicit initialization scheme such that before optimization, a HARNet yields identical predictions as the respective baseline HAR model.
Building Trust Takes Time: Limits to Arbitrage for Blockchain-Based Assets
A blockchain replaces central counterparties with time-consuming consensus protocols to record the transfer of ownership.
Counterparty Credit Limits: The Impact of a Risk-Mitigation Measure on Everyday Trading
A counterparty credit limit (CCL) is a limit that is imposed by a financial institution to cap its maximum possible exposure to a specified counterparty.
DO HIGH-FREQUENCY DATA IMPROVE HIGH-DIMENSIONALPORTFOLIO ALLOCATIONS
This paper addresses the debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We construct global minimum variance portfolios based on the constituents of the S&P 500.
