Path Signatures in Machine Learning-based Analysis
of Financial Time Series
AV Akademikerverlag ( 26.12.2018 )
€ 54,90
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.
Buch Details: |
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ISBN-13: |
978-620-2-22075-0 |
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ISBN-10: |
6202220759 |
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EAN: |
9786202220750 |
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Buchsprache: |
English |
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von (Autor): |
Milan Kuzmanovic |
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Seitenanzahl: |
112 |
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Veröffentlicht am: |
26.12.2018 |
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Kategorie: |
Geld, Bank, Börse |