Principal Component Analysis of High-Frequency Data

DOI10.1080/01621459.2017.1401542zbMATH Open1478.62150OpenAlexW3125965402MaRDI QIDQ5229911FDOQ5229911

Authors: Yacine Aït-Sahalia, Dacheng Xiu 

Publication date: 19 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2017.1401542

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zbMATH Keywords

principal componentseigenvalueeigenvectorspectral functionhigh frequencyItô semimartingale

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

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• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
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Cited In (40)

• ALL FOR ONE … ONE FOR ALL? A PRINCIPAL COMPONENT ANALYSIS OF LATIN AMERICAN BRADY BOND DEBT FROM 1994 TO 2000
• Detecting factors of quadratic variation in the presence of market microstructure noise
• Some properties of portfolios constructed from principal components of asset returns
• Principal component analysis using frequency components of multivariate time series
• Extracting information from mega‐panels and high‐frequency data
• Sparse inference of structural equation modeling with latent variables for diffusion processes
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
• Realized regression with asynchronous and noisy high frequency and high dimensional data
• Fast deflation sparse principal component analysis via subspace projections
• Equity clusters through the lens of realized semicorrelations
• Asymptotic properties of correlation-based principal component analysis
• The five trolls under the bridge: principal component analysis with asynchronous and noisy high frequency data
• Sparse online principal component analysis for parameter estimation in factor model
• Complex correlation approach for high frequency financial data
• Decomposing anomalies
• Principal eigenportfolios for U.S. equities
• Semiparametric Estimation in Continuous-Time: Asymptotics for Integrated Volatility Functionals with Small and Large Bandwidths
• Probabilistic models and statistics for electronic financial markets in the digital age
• Using principal component analysis to estimate a high dimensional factor model with high-frequency data
• High-dimensional estimation of quadratic variation based on penalized realized variance
• Testing the eigenvalue structure of spot and integrated covariance
• Improved index insurance design and yield estimation using a dynamic factor forecasting approach
• Principal component analysis and optimal portfolio
• Interpretable Sparse Proximate Factors for Large Dimensions
• State-Varying Factor Models of Large Dimensions
• High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
• Statistical inference in factor analysis for diffusion processes from discrete observations
• Inference on the maximal rank of time-varying covariance matrices using high-frequency data
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas
• Efficient estimation of integrated volatility functionals under general volatility dynamics
• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis
• Asymptotics for the systematic and idiosyncratic volatility with large dimensional high-frequency data
• High-dimensional realized covariance estimation: a parametric approach
• A weak law of large numbers for realised covariation in a Hilbert space setting
• High-frequency factor models and regressions
• Discrepancy Between Global and Local Principal Component Analysis on Large-Panel High-Frequency Data
• Activity signature functions for high-frequency data analysis
• Glivenko-Cantelli theorems for integrated functionals of stochastic processes
• Characterizing financial crises using high-frequency data
• On the number of common factors with high-frequency data

Uses Software

• ElemStatLearn

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