arXiv research

Study improves Hayashi-Yoshida estimator for high-dimensional stock covolatility.

For a genus-1 1-bridge knot in the 3-sphere, that is, a (1,1)-knot, a middle tunnel is a tunnel that is not an upper or lower tunnel for some (1,1)-position. Most torus knots have a middle tunnel, and non-torus-knot examples were obtained by Goda, Hayashi, and Ishihara. We generalize their construction and calculate th…

This paper quantifies and mitigates a bias in the Hayashi-Yoshida estimator causing data loss.

Study confirms the Epps effect using different volume time averaging methods for JSE stocks.

Let M be a compressionbody containing a graph T (with at least one edge) such that \boundary_+ M is parallel to the union of T and \boundary_- M. We extend methods of Hayashi and Shimokawa to classify bridge surfaces for T. The results of this paper are used in later work to show that if a bridge surface for a graph in…

We propose a novel estimation procedure for scale-by-scale lead-lag relationships of financial assets observed at high-frequency in a non-synchronous manner. The proposed estimation procedure does not require any interpolation processing of original datasets and is applicable to those with highest time resolution avail…

We introduce a new geometric flow called the chord shortening flow which is the negative gradient flow for the length functional on the space of chords with end points lying on a fixed submanifold in Euclidean space. As an application, we give a simplified proof of a classical theorem of Lusternik and Schnirelmann (and…

Let $T$ be a graph in a compact, orientable 3--manifold $M$ and let $Γ$ be a subgraph. $T$ can be placed in bridge position with respect to a Heegaard surface $H$. We show that if $H$ is what we call $(T,Γ)$-c-weakly reducible in the complement of $T$ then either a "degenerate" situation occurs or $H$ can be untelescop…

For a genus-1 1-bridge knot in the 3-sphere, that is, a (1,1)-knot, a middle tunnel is a tunnel that is not an upper or lower tunnel for some (1,1)-position. Most torus knots have a middle tunnel, and non-torus-knot examples were obtained by Goda, Hayashi, and Ishihara. In a previous paper, we generalized their constru…

Embeddings of knowledge graphs have received significant attention due to their excellent performance for tasks like link prediction and entity resolution. In this short paper, we are providing a comparison of two state-of-the-art knowledge graph embeddings for which their equivalence has recently been established, i.e…

When estimating high-frequency covariance (quadratic covariation) of two arbitrary assets observed asynchronously, simple assumptions, such as independence, are usually imposed on the relationship between the prices process and the observation times. In this paper, we introduce a general endogenous two-dimensional nonp…

This study compares price discovery in ETH and BTC markets between centralized and decentralized exchanges.