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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 ...
Academy of Mathematics and Systems Science, CAS Colloquia & Seminars：Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data
噪声 异步高频 数据估算 因子 现货波动率 矩阵
2023/5/4
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
Unravelling winter diatom blooms in temperate lakes using high frequency data and ecological modeling
temperate lakes winter diatom blooms winter phytoplankton ecological mode
2021/7/27
In temperate lakes, it is generally assumed that light rather than temperature constrains phytoplankton growth in winter. Rapid winter warming and increasing observations of winter blooms warrant more...
High-Frequency Chip Brings Researchers Closer to Next Generation Technology（图）
high-frequency chip researchers next generation technology
2017/9/5
A novel, high-frequency electronic chip potentially capable of transmitting tens of gigabits of data per second — a rate that is orders of magnitude above the fastest internet speeds available today —...
MONITORING HIGH-FREQUENCY OCEAN SIGNALS USING LOW-COST GNSS/IMU BUOYS
Global Navigation Satellite System (GNSS) buoys Inertial Measurement Unit (IMU) tide gauge
2016/12/1
In oceans there are different ocean signals covering the multi-frequencies including tsunami, meteotsunami, storm surge, as sea level change, and currents. These signals have the direct and significan...
Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
High Frequency of Class 1 Integrons in Escherichia coli Isolated From Patients With Urinary Tract Infections in Yasuj, Iran
Integrons Urinary Tract Infections Multidrug Resistant Escherichia coli
2016/1/26
Background: Most urinary tract infections (UTI) are caused by Escherichia coli. Integrons have an important role in distributing antibiotic resistance genes among bacteria.
Objectives: The aim of thi...
A DEM Construction Method for Inconstant Inter-Tidal Zone Base on Short-Interval, High Frequency MODIS Data Set: A Case Study in the Dongsha Sandbank of the Jiangsu Radial Tidal Sand-Ridges
Remote sensing Tidal-flat Elevation Inversion Short-interval & High-frequency MODIS Data Set
2015/11/23
Surface elevation is a critical data for geo-science study. As far as some regions with rapidly-changing in landform, analyzing the surface elevation of different periods help provide scientific basis...
Worst cases for an one-hop high frequency link
ionosphere radio propagation worst cases ray-tracing
2015/9/25
The characterisation of a HF channel by means of monthly electron density profiles can be complemented with a detailed study of radio propagation «worst cases» on situations with extremes co...
The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response
Arms Race Frequent Batch
2015/9/18
The high-frequency trading arms race is a symptom of flawed market design. Instead
of the continuous limit order book market design that is currently predominant, we argue
that financial...
The concept of using high-frequency (HF) radio pulses to remotely probe the ocean surface has been around for decades. In this paper and the companion paper by Teague et al. (1997) we strive to introd...
High-Frequency Radar Remote Sensing:The New Revolution in Coastal Oceanography
High-Frequency Radar Remote Sensing New Revolution Coastal Oceanography
2015/8/10
The littoral ocean with its complicated coastline and complex bathymetry poses great challenges to oceanographers, coastal managers, and naval forces that have an ever increasing need to understand an...
We investigate the divergence between these results and find that a virtually all of
the difference can be explained by the higher level of temporal and spatial aggregation. Since
our baseline...
A FAST DIRECTIONAL ALGORITHM FOR HIGH FREQUENCY ACOUSTIC SCATTERING IN TWO DIMENSIONS
N-body problems Helmholtz equation oscillatory kernels fast multipole methods multidirectional computation multiscale methods
2015/7/14
This paper is concerned with fast solution of high frequency acoustic scattering problems in two dimensions. We introduce a directional multiscale algorithm for the N-body problem of the two dimension...
FAST METHOD FOR HIGH-FREQUENCY ACOUSTIC SCATTERING FROM RANDOM SCATTERERS
acoustic scattering random domains uncertainty quantification boundary integral equations fast algorithms quasi–Monte Carlo methods
2015/7/14
This paper is concerned with the uncertainty quantification of high-frequency acoustic scattering from objects with random shape in two-dimensional space. Several new methods are introduced to efficie...