Multi-scale description and prediction of financial time series

DOI10.1088/1367-2630/12/8/083021zbMath1448.91286OpenAlexW2017789011MaRDI QIDQ5135188

A. Nawroth, Joachim Peinke, Rudolf Friedrich

Publication date: 19 November 2020

Published in: New Journal of Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1367-2630/12/8/083021

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Financial markets (91G15)

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