Using big financial data for the price dynamics of U.S. equities, we investigate the impact that market microstructure noise has on modeling volatility of the returns. Based on wavelet transforms (DWT and MODWT) for decomposing the systematic pattern and noise, we propose a new wavelet-based...

The Helmholtz equation is considered. The matrices decomposition algorithms for Legendre spectral collocation approximation, which nearly reduce a half of scale for original discrete system, are achieved by the centrosymmetry and positivity. Also, the di erence and finite element preconditioning...

One of the key challenges implied by the upcoming regulatory framework for market risk, known as FRTB, is the PL attribution (PLA) tests. PLA tests constitute a major innovation in the way risk engine and models are assessed for effectiveness and accuracy (on both pricing and risk factors...