Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features | The Journal of Financial Data Science

The Journal of Financial Data Science

Article Information

vol. 2 no. 3 25-39

DOI

https://doi.org/10.3905/jfds.2020.2.3.025

Published By

Pageant Media Ltd

Print ISSN

Online ISSN

History

Published online August 3, 2020.

Copyright & Usage

© 2020 Pageant Media Ltd

Author Information

Peter Nystrup
1. is a postdoctoral fellow in the Centre for Mathematical Sciences at Lund University in Lund, Sweden, and in the Department of Applied Mathematics and Computer Science at the Technical University of Denmark in Lyngby, Denmark. (peter.nystrup{at}matstat.lu.se)
Petter N. Kolm
1. is a clinical professor and director of the Mathematics in Finance Master’s Program in the Courant Institute of Mathematical Sciences at New York University in New York, NY. (petter.kolm{at}nyu.edu)
Erik Lindström
1. is a professor and head of the Section for Mathematical Statistics in the Centre for Mathematical Sciences at Lund University in Lund, Sweden. (erik.lindstrom{at}matstat.lu.se)

To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.

In this issue

Print

Save To My Folders

Similar Articles

Cited By...

No citing articles found.

Google Scholar