Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading

Author:

Chen Yi-Ting,Sun Edward W.,Yu Min-Teh

Funder

DAAD

Publisher

Springer Science and Business Media LLC

Subject

Computer Science Applications,Economics, Econometrics and Finance (miscellaneous)

Reference46 articles.

1. Artzner, P., Delbaen, F., Eber, J., Heath, D., & Ku, K. (2007). Coherent multiperiod risk adjusted values and Bellman’s principle. Annals of Operations Research, 152, 5–22.

2. Biais, B., Foucault, T., & Moinas, S. (2015). Equilibrium fast trading. Journal of Financial Economics, 116(2), 292313.

3. Boda, K., & Filar, J. (2006). Time consistent dynamic risk measures. Mathematic Methods of Operations Research, 63, 169–186.

4. Chen, Y., Sun, E., & Yu, M. (2015). Improving model performance with the integrated wavelet denoising method. Studies in Nonlinear Dynamics and Econometrics, 19, 445–467.

5. Chen, Y. T., & Sun, E. W. (2017). Automated business analytics for artificial intelligence in big data@x 4.0 era. In Dehmer, M. & Emmert-Streib, F. (Eds.) Frontiers in data science. Boca Raton: CRC Press.

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