Zobrazeno 1 - 8
of 8
pro vyhledávání: '"Theodore Zhao"'
Autor:
Tim Leung, Theodore Zhao
Publikováno v:
Mathematics, Vol 12, Iss 6, p 864 (2024)
We analyze the multiscale behaviors of high-frequency intraday prices, with a focus on how asset prices are correlated over different timescales. The multiscale approach proposed in this paper is designed for the analysis of high-frequency intraday p
Externí odkaz:
https://doaj.org/article/8bd638a6f8fa4d8093fdddb0a619b22e
Autor:
Tim Leung, Theodore Zhao
Publikováno v:
Risks, Vol 11, Iss 7, p 117 (2023)
We present a multiscale analysis of the volatility of intraday prices from high-frequency data. Our multiscale framework includes a fractional Brownian motion and microstructure noise as the building blocks. The proposed noisy fractional Brownian mot
Externí odkaz:
https://doaj.org/article/533414ca579f4f9d974822756f924cf9
Autor:
Ruanne V Barnabas, Adam A Szpiro, Xolani Ntinga, Melissa Latigo Mugambi, Heidi van Rooyen, Andrew Bruce, Philip Joseph, Thulani Ngubane, Meighan L Krows, Torin T Schaafsma, Theodore Zhao, Frank Tanser, Jared M Baeten, Connie Celum, Alastair van Heerden, Siyabonga Nkala
Publikováno v:
The Lancet HIV. 9:e848-e856
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e87ac1eaca6e9ce6eab1ffc4c722b1c
https://doi.org/10.1016/s2352-3018(22)00254-5
https://doi.org/10.1016/s2352-3018(22)00254-5
Autor:
Theodore Zhao, Tim Leung
Publikováno v:
Applied Stochastic Models in Business and Industry. 37:993-1016
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9bfd4bdd8a50a2d172cf544e5f3b77e0
https://doi.org/10.1002/asmb.2625
https://doi.org/10.1002/asmb.2625
Autor:
Tim Leung, Theodore Zhao
Publikováno v:
Journal of Risk and Financial Management, Vol 14, Iss 464, p 464 (2021)
Journal of Risk and Financial Management
Volume 14
Issue 10
Journal of Risk and Financial Management
Volume 14
Issue 10
We present a multiscale analysis of the price dynamics of U.S. sector exchange-traded funds (ETFs). Our methodology features a multiscale noise-assisted approach, called the complementary ensemble empirical mode decomposition (CEEMD), that decomposes
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5cf23c0d9dd208dbf0afdfbcf52de72f
https://www.mdpi.com/1911-8074/14/10/464
https://www.mdpi.com/1911-8074/14/10/464
Autor:
Tim Leung, Theodore Zhao
We present the method of complementary ensemble empirical mode decomposition (CEEMD) and Hilbert-Huang transform (HHT) for analyzing nonstationary financial time series. This noise-assisted approach decomposes any time series into a number of intrins
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::dbf0c802d93e612dafe9d56ab144fc92
http://arxiv.org/abs/2105.10871
http://arxiv.org/abs/2105.10871
Autor:
Theodore Zhao, Tim Leung
We study the price dynamics of cryptocurrencies using adaptive complementary ensemble empirical mode decomposition (ACE-EMD) and Hilbert spectral analysis. This is a multiscale noise-assisted approach that decomposes any time series into a number of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::25a6cf8a1e0312a8ff36e9e9986bd67d
http://arxiv.org/abs/2105.08133
http://arxiv.org/abs/2105.08133
Autor:
Tim Leung, Theodore Zhao
Publikováno v:
SSRN Electronic Journal.
We discuss the method of complementary ensemble empirical mode decomposition (CEEMD) for analyzing nonstationary financial time series. This noise-assisted approach decomposes any time series into a number of intrinsic mode functions, along with the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::08a749990db9af93a7b3b36b79139dc4
https://doi.org/10.2139/ssrn.3573243
https://doi.org/10.2139/ssrn.3573243