Parallel optimization of sparse portfolios with AR-HMMs
I. Róbert Sipos, Attila Ceffer, János Levendovszky
| Year of publication: |
April 2017
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|---|---|
| Authors: | Sipos, I. Róbert ; Ceffer, Attila ; Levendovszky, János |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 49.2017, 4, p. 563-578
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| Subject: | Mean reversion | Hidden Markov models | Portfolio optimization | Financial time series | High frequency algorithmic trading | GPGPU | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Mean Reversion | Volatilität | Volatility | Elektronisches Handelssystem | Electronic trading | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Wertpapierhandel | Securities trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-016-9579-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762135