A Novel Fading-Memory Filter Multiple Trading Strategy with Data-Driven Innovation Volatility
Author:
Affiliation:
1. Toronto Metropolitan University,Department of Mathematics,Toronto,Canada
2. University of Manitoba,Department of Statistics,Winnipeg,Canada
3. University of Manitoba,Department of Accounting and Finance,Winnipeg,Canada
Publisher
IEEE
Link
http://xplorestaging.ieee.org/ielx7/10196792/10196808/10196984.pdf?arnumber=10196984
Reference13 articles.
1. A Fresh Look at the Kalman Filter
2. Co-movement in crypto-currency markets: evidences from wavelet analysis
3. Nonnormal filtering via estimating functions;thavaneswaran;Advances on Theoretical and Methodological Aspects of Probability and Statistics,2019
4. Generalized value at risk forecasting
5. Pairs Trading: Performance of a Relative-Value Arbitrage Rule
Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. A Cryptocurrency Multiple Trading Strategy with Kalman Filter Innovation Volatility Interval Forecasts;2024 IEEE 48th Annual Computers, Software, and Applications Conference (COMPSAC);2024-07-02
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