Alex Papanicolaou

University of California, Berkeley

310 Barrows Hall

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

5

DOWNLOADS

724

SSRN CITATIONS

1

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Background Subtraction for Pattern Recognition in High Frequency Financial Data

Number of pages: 45 Posted: 18 Jan 2016 Last Revised: 07 Jul 2016
Alex Papanicolaou and Patrick Barkhordarian
University of California, Berkeley and Integral Development Corporation
Downloads 324 (119,538)

Abstract:

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2.

The Dispersion Bias

Number of pages: 35 Posted: 17 Nov 2017 Last Revised: 11 Mar 2020
University of California, Berkeley, University of California, Berkeley and University of California, Santa Barbara (UCSB)University of California at Berkeley
Downloads 254 (148,309)

Abstract:

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Markowitz optimization, eigenvector bias, sample covariance, shrinkage, random matrix theory, dispersion, minimum variance portfolio

3.

Variation-Based Tests for Volatility Misspecification

Journal of Econometrics, Forthcoming
Number of pages: 48 Posted: 16 Jun 2014 Last Revised: 25 Jan 2016
Alex Papanicolaou and Kay Giesecke
University of California, Berkeley and Stanford University - Department of Management Science & Engineering
Downloads 74 (399,889)
Citation 2

Abstract:

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volatility testing, diffusion processes, goodness-of-fit tests

4.

The Implied Futures Financing Rate

Number of pages: 49 Posted: 15 Mar 2021
University of California, Berkeley, University of California, Berkeley, University of California, Berkeley and University of California, Berkeley
Downloads 72 (405,975)

Abstract:

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futures, financing, debt, rate, leverage, trading, stock, equity index, S&P 500, Wishart, estimation, point estimate, interval estimate, fiducial inference, LIBOR, Treasury, rates, time series, AR(1), Ornstein-Uhlenbeck, autoregressive

5.

Better Betas

Posted: 05 Dec 2018 Last Revised: 25 Sep 2020
University of California, Berkeley, University of California, Berkeley, University of California, Santa Barbara (UCSB)University of California at Berkeley and Aperio Group

Abstract:

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PCA, Market betas, Dispersion, Factors, Markowitz portfolio, Minimum variance