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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...
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...
A fast directional algorithm for high-frequency electromagnetic scattering
Electromagnetic scattering Boundary integral equations Fast algorithms Fast multipole methods Sparse Fourier transforms
2015/7/14
This paper is concerned with the fast solution of high-frequency electromagnetic scattering problems using the boundary integral formulation. We extend the O(NlogN) directional multilevel algorithm pr...
FAST DIRECTIONAL COMPUTATION OF HIGH FREQUENCY BOUNDARY INTEGRALS VIA LOCAL FFTs
boundary integral method scattering high frequency waves directional algorithm low-rank approximation Chebyshev interpolation fast Fourier transforms
2015/7/14
The boundary integral method is an efficient approach for solving time-harmonic acoustic obstacle scattering problems. The main computational task is the evaluation of an oscillatory boundary integral...
DIRECTIONAL PRECONDITIONER FOR HIGH FREQUENCY OBSTACLE SCATTERING
Boundary integral method scattering high-frequency waves preconditioner low-rank approximation sparse linear algebra
2015/7/14
The boundary integral method is an efficient approach for solving time-harmonic obstacle scattering problems by a bounded scatterer. This paper presents the directional preconditioner for the iterativ...
Modeling high-frequency financial data by pure jump processes
Diffusion pure jump process semi-martingales high-frequency data hypothesis testing
2012/6/21
It is generally accepted that the asset price processes contain jumps. In fact, pure jump models have been widely used to model asset prices and/or stochastic volatilities. The question is: is there a...
High-frequency sampling and kernel estimation for continuous-time moving average processes
CARMA process continuous-time moving average process discretely sampled process FICARMA process gamma kernel
2011/9/19
Abstract: Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and tu...
Convergence of frozen Gaussian approximation for high frequency wave propagation
Convergence of frozen Gaussian high frequency wave propagation
2011/2/25
The frozen Gaussian approximation provides a highly efficient computational method for high frequency wave propagation. The derivation of the method is based on asymptotic analysis. In this paper, fo...
Is Brownian motion necessary to model high-frequency data?
Brownian motion high-frequency data
2010/11/18
This paper considers the problem of testing for the presence of a continuous part in a semimartingale sampled at high frequency. We provide two tests, one where the null hypothesis is that a continuou...
ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY DATA
Jumps index of activity infinite activity discrete sampling high frequency
2014/3/13
We define a generalized index of jump activity, propose estimators of that index for a discretely sampled process and derive the estimators’ properties.These estimators are applicable despite the pres...