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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...
Noisy channel coding via privacy amplification and information reconciliation
Noisy channel coding privacy amplification information reconciliation
2011/3/3
We show that optimal protocols for noisy channel coding of public or private information over either classical or quantum channels can be directly constructed from two more primitive information-theor...