Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries

DOI10.3233/AF-150051zbMATH Open1396.91815OpenAlexW3122692627MaRDI QIDQ4586432FDOQ4586432

Authors: George Tzagkarakis, Juliana Caicedo-Llano, Thomas Dionysopoulos 

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-150051

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zbMATH Keywords

sparse modelingfinancial time seriesdictionary learningsymbolic representationstransform codingfinancial analytics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

Cited In (1)

• An extended sparse max-linear moving model with application to high-frequency financial data

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