SSRNTrading, Microstructure & Execution
Intraday Systematic Risks & Information
A model combining kernel methods and principal component analysis offers superior analysis of asset return variations within a trading day, especially during information flow periods.
Featured in No. 73 on 6 Nov 2024 · 6 days after release
- Released
- 31 Oct 2024
- First featured
- No. 73 · 6 Nov 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 5006587
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).