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How does [TEST] handle the asynchronicity of global markets (e.g. Japanese equity market closes while US equity markets are still open)?

Updated over 2 years ago

How does [TEST] handle the asynchronicity of global markets (e.g. Japanese equity market closes while US equity markets are still open)?

global markets close

Anna German avatar

Written by Anna German
Updated over a week ago

Rev. Date May 30, 2019

For the factor returns, we use overlapping weekly returns to minimize the impact of market asynchronicity. We previously explored more sophisticated techniques (e.g. predictive PCA), but found that the complexity offered little added value.

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