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

简介:

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. 

时间:2022-11-24(Thursday)16:40-18:00
地点:Room N303, Economics Building
会议语言:English
主办单位:厦门大学经济学院、王亚南经济研究院、邹至庄经济研究院
承办单位:厦门大学经济学院金融系
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联系人信息:巫老师,电话:2183588

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