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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.
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.
Über den Autor
Completed Bachelor's degree studies at the University of St. Gallen, with major in Economics. Doing research in the application of machine learning to modelling of financial markets. Currently pursuing the Master's degree program MSc Statistics at the ETH Zurich.
Details
Erscheinungsjahr: | 2018 |
---|---|
Fachbereich: | Wirtschaftsratgeber |
Genre: | Importe, Wirtschaft |
Rubrik: | Recht & Wirtschaft |
Medium: | Taschenbuch |
Inhalt: | 112 S. |
ISBN-13: | 9786202220750 |
ISBN-10: | 6202220759 |
Sprache: | Englisch |
Ausstattung / Beilage: | Paperback |
Einband: | Kartoniert / Broschiert |
Autor: | Kuzmanovic, Milan |
Hersteller: | AV Akademikerverlag |
Verantwortliche Person für die EU: | AV Akademikerverlag, Brivibas Gatve 197, ?-1039 Riga, customerservice@vdm-vsg.de |
Maße: | 220 x 150 x 7 mm |
Von/Mit: | Milan Kuzmanovic |
Erscheinungsdatum: | 26.12.2018 |
Gewicht: | 0,185 kg |
Über den Autor
Completed Bachelor's degree studies at the University of St. Gallen, with major in Economics. Doing research in the application of machine learning to modelling of financial markets. Currently pursuing the Master's degree program MSc Statistics at the ETH Zurich.
Details
Erscheinungsjahr: | 2018 |
---|---|
Fachbereich: | Wirtschaftsratgeber |
Genre: | Importe, Wirtschaft |
Rubrik: | Recht & Wirtschaft |
Medium: | Taschenbuch |
Inhalt: | 112 S. |
ISBN-13: | 9786202220750 |
ISBN-10: | 6202220759 |
Sprache: | Englisch |
Ausstattung / Beilage: | Paperback |
Einband: | Kartoniert / Broschiert |
Autor: | Kuzmanovic, Milan |
Hersteller: | AV Akademikerverlag |
Verantwortliche Person für die EU: | AV Akademikerverlag, Brivibas Gatve 197, ?-1039 Riga, customerservice@vdm-vsg.de |
Maße: | 220 x 150 x 7 mm |
Von/Mit: | Milan Kuzmanovic |
Erscheinungsdatum: | 26.12.2018 |
Gewicht: | 0,185 kg |
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