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Beschreibung
This paper examines the application of the rough paths theory in modelling of financial time series. The theory of rough paths provides a way to effectively and efficiently capture the relevant information about rough signals, which can be used in machine learning modelling. This approach is applied to twelve stock market indexes with a goal to predict the sign of their daily returns (positive or negative) and their realized daily volatility.
of Financial Time Series
Details
| Verlag | AV Akademikerverlag |
| Ersterscheinung | 26. Dezember 2018 |
| Maße | 22 cm x 15 cm x 0.8 cm |
| Gewicht | 185 Gramm |
| Format | Softcover |
| ISBN-13 | 9786202220750 |
| Seiten | 112 |
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