2 papers
stat.ME2019
Non-Parametric Estimation of Spot Covariance Matrix with High-Frequency Data
Konul Mustafayeva, Weining Wang
Estimating spot covariance is an important issue to study, especially with the increasing availability of high-frequency financial data. We study the estimation of spot covariance…
q-fin.PM2018
Portfolio Optimization for Cointelated Pairs: SDEs vs. Machine Learning
Babak Mahdavi-Damghani, Konul Mustafayeva, Stephen Roberts +1
With the recent rise of Machine Learning as a candidate to partially replace classic Financial Mathematics methodologies, we investigate the performances of both in solving the pro…