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High-Frequency Data
Intra-day financial transactions and quotes data have become available since 1990’s. These have sparked research on the micro-structure of markets....
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Review of Statistical Approaches for Modeling High-Frequency Trading Data
Due to technological advancements over the last two decades, algorithmic trading strategies are now widely used in financial markets. In turn, these...
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Distribution-free specification test for volatility function based on high-frequency data with microstructure noise
In this paper, we propose a two-step test for parametric specification of volatility function based on high-frequency data with microstructure noise....
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Forecasting High-Frequency Electricity Demand in Uruguay
This paper proposes a model for the daily electricity demand in Uruguay, identifying the incidence of special days (calendar effects, holidays, among...
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Inference for time-varying lead–lag relationships from ultra-high-frequency data
A new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading...
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Prediction-based estimation for diffusion models with high-frequency data
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high-frequency...
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Estimation for high-frequency data under parametric market microstructure noise
We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The...
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Data Preprocessing
This chapter provides a comprehensive overview of data preprocessing techniques and tools in the context of web and social media analytics. As data...
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Modeling and Control of Data Transmission
This paper concerns a class of stochastic recursive systems which we treat as stochastic decision models. Problems for optimal control are considered...
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Music Data Analysis
This chapterTopicsmusic data analysis illustrates how music audio data can be statistically analyzed for automatic transcription and determination of...
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Data Observer—a guide to data that can help to inform evidence-based policymaking
For many attempts to inform evidence-based policymaking (or policy-makers in general) researchers have to rely on already available (instead of newly...
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Innovation for improving climate-related data—Lessons learned from setting up a data hub
In this article, we present a framework to assess the challenges in the climate-related data landscape. From our perspective, we describe challenges...
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Supervised Classification of High-Dimensional Correlated Data: Application to Genomic Data
This work addresses the problem of supervised classification for high-dimensional and highly correlated data using correlation blocks and supervised...
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Statistical Learning of Large-Scale Genetic Data: How to Run a Genome-Wide Association Study of Gene-Expression Data Using the 1000 Genomes Project Data
Teaching statistics through engaging applications to contemporary large-scale datasets is essential to attracting students to the field. To this end,...
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Data Collection Methods
This chapter provides an overview of the following data-gathering methods: online surveys, crowdsourcing, eye tracking, mouse tracking, search logs,...
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Imbalanced data sampling design based on grid boundary domain for big data
The data distribution is often associated with a priori -known probability, and the occurrence probability of interest events is small, so a large...
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Data Preparation
This chapter focuses on data preparation, a crucial step in the analytics process to ensure that the data used for modeling is of the highest...
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Working with Text Data
Text data do not lend themselves readily for numerical analysis. One approach is to convert texts into n-gram variables. A unigram variable counts...
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Change point detection in text data
The analysis of text data using artificial intelligence and statistical methods has become increasingly important in recent years. One application is...
