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High-Dimensional Statistics in Finance

3 Pages Posted: 8 May 2018

See all articles by Chi Seng Pun

Chi Seng Pun

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences

Date Written: July 19, 2017

Abstract

This 3-page review article summarizes the current state of application of high-dimensional statistics in finance. It teaches about the recent major advances and discoveries by citing the key papers. The significant research gaps are discussed.

Keywords: High-Dimensional Statistics, Finance, Economics, Financial Decision Making, Portfolio Selection

Suggested Citation

Pun, Chi Seng, High-Dimensional Statistics in Finance (July 19, 2017). Available at SSRN: https://ssrn.com/abstract=3167632 or http://dx.doi.org/10.2139/ssrn.3167632

Chi Seng Pun (Contact Author)

Nanyang Technological University (NTU) - School of Physical and Mathematical Sciences ( email )

SPMS-MAS-05-22
21 Nanyang Link
Singapore, 637371
Singapore
(+65) 6513 7468 (Phone)

HOME PAGE: http://personal.ntu.edu.sg/cspun/

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