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

DOI10.3233/AF-150051MaRDI QIDQ4586432zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(1)

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

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