Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries

DOI10.3233/AF-150051zbMath1396.91815OpenAlexW3122692627MaRDI QIDQ4586432

Thomas Dionysopoulos, George Tzagkarakis, Juliana Caicedo-Llano

Publication date: 13 September 2018

Published in: Algorithmic Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3233/af-150051

zbMATH Keywords

financial time seriesdictionary learningsymbolic representationssparse modelingtransform codingfinancial analytics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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