Lecture

Market Response Functions

In course

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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.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_dds21fsx

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Mathematics

Algebra: Linear algebra

Economics

Microeconomics: Financial economics

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