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Dynamic Covariance Models for Multivariate Financial Time Series
Dynamic Covariance Models Multivariate Financial Time Series
2013/6/14
The accurate prediction of time-changing covariances is an important problem in the modeling of multivariate financial data. However, some of the most popular models suffer from a) overfitting problem...
Inverse Signal Classification for Financial Instruments
time-series classification signal analysis decision tree learning
2013/4/28
The paper presents new machine learning methods: signal composition, which classifies time-series regardless of length, type, and quantity; and self-labeling, a supervised-learning enhancement. The pa...
Understanding the source of multifractality in financial markets
Understanding source multifractality financial markets
2012/3/2
In this paper, we use the generalized Hurst exponent approach to study the multi- scaling behavior of different financial time series. We show that this approach is robust and powerful in detecting di...
Vast volatility matrix estimation for high-frequency financial data
Convergence rate diffusion integrated volatility matrix norm micro-structure noise realized volatility
2010/3/10
High-frequency data observed on the prices of financial assets
are commonly modeled by diffusion processes with micro-structure
noise, and realized volatility-based methods are often used to estimat...
CHANGES OF STRUCTURE IN FINANCIAL TIME SERIES AND THE GARCH MODEL
integrated periodogram spectral distribution functional central limit theorem Kiefer-Muller process Brownian bridge sample autocorrelation change point GARCH process long range dependence IGARCH non-stationarity
2009/2/26
In this paper we propose a goodness of fit test that checks the resemblance of the spectral density of a GARCH process to that of the log-returns. The asymptotic behavior of the test statistics are gi...
Parametric and nonparametric models and methods in financial econometrics
Diffusion model hidden Markov model jump diffusionmodel Markov chain model validation nonlinear time series nonparametric density estimate nonparametric curve estimate stochastic differential equation stochastic volatility
2009/2/11
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several wid...
A mathematical proof of the existence of trends in financial time series
Financial time series mathematical finance technical analysis trends random walks efficient markets
2010/3/17
We are settling a longstanding quarrel in quantitative finance by proving the
existence of trends in financial time series thanks to a theorem due to P. Cartier
and Y. Perrin, which is expressed in ...