Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model

报告题目：Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model

报告人： 陈佳教授（The University of York, UK）

时间：2023年04月07日（星期五）上午13:30-

地点：紫金港校区海纳苑2幢205教室

摘要：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 factor structure for microstructure noise in addition to the factor structure for the efficient log-prices. We construct estimators of factors for both the efficient log-prices and the microstructure noise as well as their common components, and prove the uniform consistency of

these estimators when the number of assets and the sampling frequency go to infinity. In a Monte Carlo exercise, we compare our DPCA method to a PCA-VECM method. Finally, an empirical analysis of intraday returns of S&P 500 Index constituents provides evidence of co-movement of the microstructure noise that distinguishes from latent systematic risk factors. (Joint work with Yu-Ning Li and Oliver Linton; An early draft of the paper is available at https://www.repository.cam.ac.uk/handle/1810/327033)

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联系人: 庞天晓 txpang@zju.edu.cn

报告人简介：陈佳教授于2008年在浙江大学获得博士学位（概率统计方向）， 2008-2011在澳大利亚The University of Adelaide和Monash University从事博士后研究，2011-2013在The University of Queensland工作，2013年开始在英国The University of York工作。现为The University of York经济系教授。陈佳教授在非参数和半参数统计、面板数据建模和统计推断、高维统计和计量经济学等领域取得了一系列国际领先的研究成果，分别发表在Journal of the American Statistical Association, The Annals of Statistics, Journal of Econometrics, Econometric Theory, Journal of Business & Economic Statistics等统计学和计量经济学的顶级刊物上。她和合作者们关于零常返马氏过程半参数模型方面的工作被诺贝尔经济奖得主Clive Granger和其合作者的专著《Modelling Nonlinear Economic Time Series》所引用。陈佳教授目前担任《Journal of Nonparametric Statistics》,《Economic Modelling》以及《Australian and New Zealand Journal of Statistics》的副主编。