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Tag: high-frequency

pythonpapercovariancehigh-frequencyafter-work

Introducing Knowing Factors or Factor Loadings, or Neither? for after-work quants

Dai, Lu & Xiu (2019) compare TSR, CSR and PCA large-covariance estimators on noisy asynchronous high-frequency data—known factors, known loadings, or neither. Plain-language intro. Not investment advice.

pythonpapercovariancehigh-frequencyfactorsafter-work

Introducing Knowing Factors or Factor Loadings, or Neither? for after-work quants

Dai, Lu & Xiu (2019) compare large-covariance estimators from noisy high-frequency data when you know factors, know loadings (BARRA-style), or know neither. Plain-language intro. Not investment advice.

pythonpapergicscovariancehigh-frequencyafter-work

Introducing Incorporating GICS into Portfolio Allocation for after-work quants

Fan, Furger & Xiu (2016) fold GICS industry structure into large covariance estimates from high-frequency data so portfolio risk is not a dense noise matrix. Plain-language intro. Not investment advice.

pythonpapercovariancehigh-frequencyafter-work

Introducing Large Covariance from Noisy High-Frequency Data for after-work quants

Dai, Lu & Xiu (2019) horse-race TSR, CSR and PCA factor covariances on noisy, asynchronous ticks with pre-averaging and thresholding. Plain-language intro. Not investment advice.