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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 ...
Assisted Common Information with an Application to Secure Two-Party Sampling
Assisted Common Information Secure Two-Party Sampling Information Theory
2012/6/25
In this paper we generalize the notion of common information of two dependent variables introduced by G\'acs & K\"orner. They defined common information as the largest entropy rate of a common random ...