Parallel optimization of sparse portfolios with AR-HMMs

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Computational economics
1. Verfasser: Sipos, I. Róbert (VerfasserIn)
Weitere Verfasser: Ceffer, Attila (VerfasserIn), Levendovszky, János (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: April 2017
Schlagworte:
Mean reversion > Hidden Markov models > Portfolio optimization > Financial time series > High frequency algorithmic trading > GPGPU > Aufsatz in Zeitschrift
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Titel Jahr Verfasser
Performances of model selection criteria when variables are ILL conditioned 2019 Karlsson, Peter S.
Fast and adaptive cointegration based model for forecasting high frequency financial time series 2019 Arce, Paola
Enhancing quasi-Monte Carlo simulation by minimizing effective dimension for derivative pricing 2019 Xiao, Ye
Computational approach for the firm's cost minimization problem using the selective infimal convolution operator 2019 Bayón, L.
How unemployment affects bond prices : a mixed frequency google nowcasting approach 2019 Dimpfl, Thomas
How many agents are rational in China's economy? : evidence from a heterogeneous agent-based New Keynesian Model 2019 Zhao, Wei
Customer satisfaction prediction in the shipping industry with Hybrid Meta-heuristic approaches 2019 Bekiros, Stelios
A continuous differentiable wavelet shrinkage function for economic data denoising 2019 He, Fan
Introduction to network modeling using exponential random graph models (ERGM) : theory and an application using r-project 2019 Pol, Johannes van der
Accounting for heterogeneity in environmental performance using data envelopment analysis 2019 Halkos, George E.
Extracting appropriate nodal marginal prices for all types of committed reserve 2019 Akbary, Paria
Monetary transmission channels in DSGE models : decomposition of impulse response functions approach 2019 Labus, Miroljub
Hodges-Lehmann estimation of static panel models with spatially correlated disturbances 2019 Strumann, Christoph
Observing cascade behavior depending on the network topology and transaction costs 2019 Kim, Joohyun
How strong is the relationship among gold and USD exchange rates? : analytics based on structural change models 2019 Dong, Manh Cuong
On optimal pricing model for multiple dealers in a competitive market 2019 Yang, Qing-Qing
Stress testing for retail mortgages based on probability analysis 2019 Liu, Chang
Pricing swaps on discrete realized higher moments under the lévy process 2019 Zhu, Wenli
Trade costs and endogenous nontradability in a model with sectoral and firm-level heterogeneity 2019 Atolia, Manoj
Forecasting crude oil prices : a comparison between artificial neural networks and vector autoregressive models 2019 Ramyar, Sepehr
Alle Artikel auflisten