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We develop the Double Principal Component Analysis (DPCA) based on a dual factor structure for high-frequency intraday returns contaminated by microstructure noise. The dual factor structure allows a ...
With noisy and asynchronous high-frequency data collected for an ultra-large number of assets, we estimate high-dimensional spot volatility matrices satisfying a low-rank plus sparse structure. A loca...
In temperate lakes, it is generally assumed that light rather than temperature constrains phytoplankton growth in winter. Rapid winter warming and increasing observations of winter blooms warrant more...
A novel, high-frequency electronic chip potentially capable of transmitting tens of gigabits of data per second — a rate that is orders of magnitude above the fastest internet speeds available today —...
In oceans there are different ocean signals covering the multi-frequencies including tsunami, meteotsunami, storm surge, as sea level change, and currents. These signals have the direct and significan...
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
Background: Most urinary tract infections (UTI) are caused by Escherichia coli. Integrons have an important role in distributing antibiotic resistance genes among bacteria. Objectives: The aim of thi...
Surface elevation is a critical data for geo-science study. As far as some regions with rapidly-changing in landform, analyzing the surface elevation of different periods help provide scientific basis...
The characterisation of a HF channel by means of monthly electron density profiles can be complemented with a detailed study of radio propagation «worst cases» on situations with extremes co...
The high-frequency trading arms race is a symptom of flawed market design. Instead of the continuous limit order book market design that is currently predominant, we argue that financial...
The concept of using high-frequency (HF) radio pulses to remotely probe the ocean surface has been around for decades. In this paper and the companion paper by Teague et al. (1997) we strive to introd...
The littoral ocean with its complicated coastline and complex bathymetry poses great challenges to oceanographers, coastal managers, and naval forces that have an ever increasing need to understand an...
We investigate the divergence between these results and find that a virtually all of the difference can be explained by the higher level of temporal and spatial aggregation. Since our baseline...
This paper is concerned with fast solution of high frequency acoustic scattering problems in two dimensions. We introduce a directional multiscale algorithm for the N-body problem of the two dimension...
This paper is concerned with the uncertainty quantification of high-frequency acoustic scattering from objects with random shape in two-dimensional space. Several new methods are introduced to efficie...

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