Lecture
Market Response Functions
Description
This lecture covers the analysis of market response functions, flash crashes, noise filtering in covariance matrices, and correlation estimation in finance. Students will learn about flash crash detection algorithms, cross-asset response functions, correlation between asynchronous time series, and the curse of dimensionality in correlation matrices. The lecture also delves into random matrix theory, Marčenko-Pastur distribution, eigenvalues-eigenvectors in PCA, and noise filtering by eigenvalue clipping for portfolio optimization.
Official source
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