Flexible least squares for temporal data mining and statistical arbitrage

Montana, G., Triantafyllopoulos, K. and Tsagaris, T. (2009) Flexible least squares for temporal data mining and statistical arbitrage. Expert Systems with Applications, 36 (2). pp. 2819-2830. ISSN 0957-4174

Abstract

Metadata

Authors/Creators:
  • Montana, G.
  • Triantafyllopoulos, K. (K.Triantafyllopoulos@sheffield.ac.uk)
  • Tsagaris, T.
Keywords: Temporal data mining; Flexible least squares; Time-varying regression; Algorithmic trading system; Statistical arbitrage
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Science (Sheffield) > School of Mathematics and Statistics (Sheffield)
Depositing User: Mrs Megan Hobbs
Date Deposited: 22 Mar 2010 10:33
Last Modified: 16 Nov 2015 11:49
Published Version: http://dx.doi.org/10.1016/j.eswa.2008.01.062
Status: Published
Publisher: Elsevier
Identification Number: 10.1016/j.eswa.2008.01.062

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