8 citations · 17 across the 4 of their papers we have counts for
4 papers
Optimization and Regularization Under Arbitrary Objectives
Jared N. Lakhani, Etienne Pienaar
This study investigates the limitations of applying Markov Chain Monte Carlo (MCMC) methods to arbitrary objective functions, focusing on a two-block MCMC framework which alternate…
The Epps effect under alternative sampling schemes
Patrick Chang, Etienne Pienaar, Tim Gebbie
Time and the choice of measurement time scales is fundamental to how we choose to represent information and data in finance. This choice implies both the units and the aggregation…
Detecting discrete processes with the Epps effect
Patrick Chang, Etienne Pienaar, Tim Gebbie
The Epps effect is key phenomenology relating to high frequency correlation dynamics in financial markets. We argue that it can be used to provide insight into whether tick data is…
Malliavin-Mancino estimators implemented with non-uniform fast Fourier transforms
Patrick Chang, Etienne Pienaar, Tim Gebbie
We implement and test kernel averaging Non-Uniform Fast Fourier Transform (NUFFT) methods to enhance the performance of correlation and covariance estimation on asynchronously samp…