The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (Q5146046)
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scientific article; zbMATH DE number 7300171
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data |
scientific article; zbMATH DE number 7300171 |
Statements
The Five Trolls Under the Bridge: Principal Component Analysis With Asynchronous and Noisy High Frequency Data (English)
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22 January 2021
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asynchronous sampling times
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factor model
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high dimensionality
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high frequency
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market microstructure noise
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principal component analysis
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