Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Peter Nystrup; Petter N. Kolm; Erik Lindström

doi:10.3905/jfds.2020.2.3.025

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Peter Nystrup, Petter N. Kolm and Erik Lindström

The Journal of Financial Data Science Summer 2020, 2 (3) 25-39; DOI: https://doi.org/10.3905/jfds.2020.2.3.025

Peter Nystrup

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

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Petter N. Kolm

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

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Erik Lindström

is a professor and head of the Section for Mathematical Statistics in the Centre for Mathematical Sciences at Lund University in Lund, Sweden

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Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features