Volatility trading via temporal pattern recognition in quantised financial time series

DOI10.1007/PL00010989MaRDI QIDQ5960678zbMATH OpenOpenAlexFDO

Authors Peter Tino, Christian Schittenkopf, Georg Dorffner

Publication date 21 May 2002

Published in PAA. Pattern Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/pl00010989

Mathematics Subject Classification ID

Pattern recognition, speech recognition (68T10) Computing methodologies and applications (68U99) Economic time series analysis (91B84)

Recommendations

• A data-dependent approach to modeling volatility in financial time series
• Continuous-time trading and the emergence of volatility
• scientific article; zbMATH DE number 1692445
• Forecasting and trading high frequency volatility on large indices
• Structural clustering of volatility regimes for dynamic trading strategies
• Towards a nonlinear trading strategy for financial time series
• Volatility estimation from short time series of stock prices
• Towards a theory of volatility trading

Cited in

(4)

• Ordinal regression based on learning vector quantization
• Towards a nonlinear trading strategy for financial time series
• Time series momentum trading strategy and autocorrelation amplification
• Structural clustering of volatility regimes for dynamic trading strategies

This page was built for publication: Volatility trading via temporal pattern recognition in quantised financial time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5960678)