Flexible least squares for temporal data mining and statistical arbitrage

Expert Systems with Applications

Volumn 36, Issue 2 PART 2, 2009, Pages 2819-2830

  Montana, Giovanni ^a   Triantafyllopoulos, Kostas ^b   Tsagaris, Theodoros ^a  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b UNIVERSITY OF SHEFFIELD   (United Kingdom)

Author keywords

Algorithmic trading system; Flexible least squares; Statistical arbitrage; Temporal data mining; Time varying regression

Indexed keywords

COMMERCE; ELECTRONIC TRADING; FILTRATION; FINANCIAL MARKETS;

ALGORITHMIC TRADING SYSTEM; FLEXIBLE LEAST SQUARES; STATISTICAL ARBITRAGE; TEMPORAL DATA MINING; TIME-VARYING REGRESSION;

DATA MINING;

EID: 56349133551     PISSN: 09574174     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.eswa.2008.01.062     Document Type: Article

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