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Disentangling Autocorrelated Intraday Returns
We propose a semiparametric framework to disentangle the autocovariance structure of high-frequency equity returns. The observed price …
Rui Da, Dacheng Xiu
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The Statistical Limit of Arbitrage
We investigate the economic consequences of statistical learning for arbitrage pricing in a high-dimensional setting. Arbitrageurs …
Rui Da, Stefan Nagel, Dacheng Xiu
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