A0606
Title: Random matrix theory for high-frequency data
Authors: Qiang Liu - Shanghai University of Finance and Economics (China) [presenting]
Abstract: In empirical random matrix theory, the sample data are often assumed to be independently and identically distributed, while this is not true for high-frequency data. The model of high-frequency data and some key problems in this field are introduced, and the method of using random matrix theory to solve these problems is discussed. Moreover, the findings are presented as some applications for the estimation of spot covariance matrix in high dimension, which are based on its empirical spectral distribution (ESD) and linear spectral statistics (LSS).
