Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	陈佳教授,英国约克大学
Inviter:	石坚教授
Title:	Estimation of Common Factors for Microstructure Noise and Effcient Price in a High-frequency Dual Factor Model
Language:	Chinese
Time & Venue:	2023.03.20 10:30-11:30 南楼N202
Abstract:	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 e?cient log-prices. We construct estimators of factors for both the e?cient 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 in?nity. 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. An early draft of the paper is available at https://www.repository.cam.ac.uk/handle/1810/ 327033