Margin Setting with High-Frequency Data

A Method for Target Setting with Share Data

Data Envelopment Analysis (DEA) is a mathematical programming technique for evaluatingthe relative efficiency of a set of Decision Making Units (DMUs) and can also be utilized forsetting target. Target setting is one of the important subjects since according to its resultsefficiency can be increased. An important issue to be currently discussed, is to set targetwhile considering share data. The...

Target setting in additive models with preferences and interval data

Volatility Forecasting with High Frequency Data

The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick data. In this paper, we study the problem of forecasting the unobserved volatility using past values of measured volatility. Specifically, we use daily estimates of volatility based on high frequency data, called realized variance, and construct the optimal linear forecast of future volatility. Ut...

Maximum Margin Matrix Factorization with Netflix Data

Maximum Margin Matrix Factorization (MMMF), a collaborative filtering method, was recently introduced in [7] followed by an iterative solution presented in [6]. In this paper we analyze the performance of MMMF on a subset of the Netflix data based on RMSE and classification rate. We also present several modifications to improve the performance of the algorithm on the Netflix problem.

The Econometrics of High Frequency Data 2 1 . 2 High Frequency Data