Share New Research 
Here is an abstract from an interesting article by Siddhartha Chiba, Lingxiao Zhao, Guofu Zhou published in June 2021.
http://apps.olin.wustl.edu/faculty/chib/findingnew.pdf
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Louis Szeto
Hi Vladimir
Thanks for sharing with us this paper! This is an interesting idea on splitting into 2 parts by timestamp, computationally easier in discrete concepts. We are looking forward to how that would be transformed into codes for actual use!
And for those who are interested in the time decay effect of older historical data for risk estimation. Please also check out the concepts of Exponential Covariance & Squared Exponential Covariance. They're continuous scale decay on the importance/weighting of older data in logarithm scale. The latter one is more preferred in most cases as it is a stationary covariance function with smooth sample paths.
Best,
Louis Szeto
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Vladimir
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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