Risk assessment with wavelet feature engineering for high-frequency portfolio trading
Yi-Ting Chen, Edward W. Sun, Min-Teh Yu
| Year of publication: |
2018
|
|---|---|
| Authors: | Chen, Yi-Ting ; Sun, Edward W. ; Yu, Min-Teh |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer, ISSN 0927-7099, ZDB-ID 1142021-2. - Vol. 52.2018, 2, p. 653-684
|
| Subject: | Big financial data | Dynamic risk measures | Feature engineering | Portfolio optimization | Time consistency | Wavelet | Portfolio-Management | Portfolio selection | Zustandsraummodell | State space model | Risikomaß | Risk measure | Theorie | Theory | Zeitkonsistenz | Risikomanagement | Risk management | Risiko | Risk | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-017-9711-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012053020