Learning Volatility of Discrete Time Series Using Prediction with Expert Advice

DOI10.1007/978-3-642-04944-6_3zbMath1260.91209OpenAlexW2134930702MaRDI QIDQ3646115

Vladimir V. V'yugin

Publication date: 19 November 2009

Published in: Stochastic Algorithms: Foundations and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04944-6_3

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Applications of game theory (91A80) Rationality and learning in game theory (91A26)

Uses Software

• AdaBoost.MH

Cites Work

• Unnamed Item
• The weighted majority algorithm
• A general version of the fundamental theorem of asset pricing
• A decision-theoretic generalization of on-line learning and an application to boosting
• Probability and Finance
• Hannan Consistency in On-Line Learning in Case of Unbounded Losses Under Partial Monitoring
• Arbitrage with Fractional Brownian Motion
• Learning Theory and Kernel Machines
• Algorithmic Learning Theory
• Algorithmic Learning Theory
• Prediction, Learning, and Games

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