An automated financial indices-processing scheme for classifying market liquidity regimes
From MaRDI portal
(Redirected from Publication:5020784)
Recommendations
- Multi-scale representation of high frequency market liquidity
- Capturing the order imbalance with hidden Markov model: a case of SET50 and KOSPI50
- Hidden Markov models for financial optimization problems
- Online estimation for a predictive analytics platform with a financial-stability-analysis application
- Conditionally heteroscedastic factorial HMMs for time series in finance
Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Adaptive signal processing of asset price dynamics with predictability analysis
- An examination of HMM-based investment strategies for asset allocation
- An interest rate model with a Markovian mean reverting level
- An online estimation scheme for a Hull–White model with HMM-driven parameters
- Asymptotic Statistics
- Continuous Auctions and Insider Trading
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Equilibrium asset prices and exchange rates
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- scientific article; zbMATH DE number 722978 (Why is no real title available?)
- Investigating Causal Relations by Econometric Models and Cross-spectral Methods
- Kurtosis as Peakedness, 1905–2014.R.I.P.
- Linear and non-linear filtering in mathematical finance: a review
- New finite-dimensional filters for parameter estimation of discrete-time linear Gaussian models
- On the convergence properties of the EM algorithm
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
Cited in
(3)
This page was built for publication: An automated financial indices-processing scheme for classifying market liquidity regimes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5020784)
