Inferring Trader’s Behavior from Prices

DOI10.1007/978-3-642-13950-5_6zbMath1198.91233OpenAlexW65711361MaRDI QIDQ3055536

Nawwaf N. Kharma, Louis Charbonneau

Publication date: 8 November 2010

Published in: Natural Computing in Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-13950-5_6

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Approximation methods and heuristics in mathematical programming (90C59) Computational methods for problems pertaining to game theory, economics, and finance (91-08) Agent technology and artificial intelligence (68T42)

Cites Work

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• Testing for unit roots in autoregressive-moving average models of unknown order
• Econometric Evaluation of Linear Macro-Economic Models
• On a measure of lack of fit in time series models

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