Learning Volatility of Discrete Time Series Using Prediction with Expert Advice

DOI10.1007/978-3-642-04944-6_3MaRDI QIDQ3646115zbMATH OpenOpenAlexFDO

Authors Vladimir V. V'yugin

Publication date 19 November 2009

Published in Stochastic Algorithms: Foundations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04944-6_3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Rationality and learning in game theory (91A26) Applications of game theory (91A80) Economic time series analysis (91B84)

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Cites work

• A decision-theoretic generalization of on-line learning and an application to boosting
• A general version of the fundamental theorem of asset pricing
• Algorithmic Learning Theory
• Algorithmic Learning Theory
• Arbitrage with Fractional Brownian Motion
• Efficient algorithms for online decision problems.
• Hannan Consistency in On-Line Learning in Case of Unbounded Losses Under Partial Monitoring
• scientific article; zbMATH DE number 3128728 (Why is no real title available?)
• Prediction, Learning, and Games
• Probability and finance. It's only a game!
• The weighted majority algorithm

Describes a project that uses

Uses Software

• AdaBoost.MH

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