Positive Definite High-dimensional Covariance Estimation under a General Factor Model with High-frequency Data
| 主讲人 |
崔丽媛 |
主讲人简介 |
<p>香港城市大学腾博官网诚信为本客服下载与tengbo9885手机版客户端系助理教授。2010年本科毕业于武汉大学数学与应用数学专业，2017年获得美国康奈尔大学腾博官网诚信为本客服下载学博士学位。主要研究方向包括tengbo9885手机版客户端计量腾博官网诚信为本客服下载学、高维协方差矩阵分析、高频交易、非参数统计建模等。</p> |
| 主持人 |
洪永淼 |
简介 |
<p>This paper proposes a novel large-dimensional positive definite covariance (LDPDC) estimator for high-frequency data under a general factor model framework. We demonstrate an appealing connection between LDPDC and a weighted group LASSO penalized least squares estimator. LDPDC improves the traditional principal component analysis by allowing for weak factors, whose signal strengths are relatively weak compared to the idiosyncratic component. Even when microstructure noise and asynchronous trading are present, LDPDC achieves a guarded positive definiteness without deteriorating convergence rates. To make LDPDC fully operational, we provide an extended simultaneous alternating direction method of multipliers algorithm to solve the resultant constrained convex minimization problem. We offer a data-driven algorithm to select involved tuning parameters in practice optimally. Empirically, we study the monthly high-frequency covariance structure of the stock constituents of the S&P 500 index from 2008 to 2016, based on which we construct statistical high-frequency factor returns. We use all traded stocks from NYSE, AMEX, and NASDAQ stock markets to construct 12 high-frequency firm characteristic-based economic factors. We further examine the out-of-sample performance of LDPDC through vast portfolio allocations, which deliver significantly reduced out-of-sample portfolio risk and enhanced Sharpe ratios. The success of our approach helps justify the usefulness of machine learning techniques in finance.</p> |
| 时间 |
2022-10-25 (Tuesday)16:30-18:00 |
地点 |
中科院数学与系统科学研究院南楼N204(线下主会场)、厦大腾博官网诚信为本客服下载楼N402(线下分会场)、腾讯会议：37586125504 |
| 主办单位 |
中国科学院大学腾博官网诚信为本客服下载与管理学院、中国科学院预测科学研究中心、tengbo9885手机版客户端大学邹至庄腾博官网诚信为本客服下载研究院、NSFC"计量建模与腾博官网诚信为本客服下载政策研究”基础科学中心 |
承办单位 |
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| 类型 |
系列讲座 |
专题网站 |
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| 联系人信息 |
许老师，电话：0592-2182991，邮箱：ysxu@xmu.edu.cn |
讲座语言 |
中文 |
| 期数 |
“邹至庄讲座”青年学者论坛（第40期） |
