Keywords: سری زمانی مالی; Value at Risk; Multifractality; Binomial multifractal model; Multifractal model of asset return; Financial time series
مقالات ISI سری زمانی مالی (ترجمه نشده)
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Keywords: سری زمانی مالی; Chaos; Dendritic neuron model; Financial time series; Lyapunov exponent; Phase space reconstruction
Keywords: سری زمانی مالی; Financial time series; Artificial financial predictors; Sparse representation; Learned over-redundant dictionaries; Temporal feature extraction; Time-domain pattern recognition
Keywords: سری زمانی مالی; Financial time series; Subsequence matching; Perceptually important points; UCR Suite; Support Vector Machine
Time irreversibility of financial time series based on higher moments and multiscale Kullback-Leibler divergence
Keywords: سری زمانی مالی; Irreversibility; Financial time series; High moments; Multiscale Kullback-Leibler divergence;
Generalized AIC method based on higher-order moments and entropy of financial time series
Keywords: سری زمانی مالی; AIC method; Skewness; Kurtosis; Entropy; Financial time series;
Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix
Keywords: سری زمانی مالی; Total cross-approximate entropy; Average cross-approximate entropy; Cumulative histogram method; Financial time series;
Weighted multiscale Rényi permutation entropy of nonlinear time series
Keywords: سری زمانی مالی; Permutation entropy; Multiple scales; Weighted multiscale Rényi permutation entropy; Financial time series;
Financial time series prediction using â2,1RF-ELM
Keywords: سری زمانی مالی; Extreme learning machine; Financial time series; Neural network; â2,1RF-ELM;
Financial time series prediction using artificial neural network based on Levenberg-Marquardt algorithm
Keywords: سری زمانی مالی; Financial time series; neural network; prediction; optimization; Levenberg-Marquardt;
S&P500 Forecasting and trading using convolution analysis of major asset classes
Keywords: سری زمانی مالی; Financial Assets; Forecasting; Quantitative Trading Strategies; Financial Time Series;
The cross-correlation analysis of multi property of stock markets based on MM-DFA
Keywords: سری زمانی مالی; Cross-correlation analysis; Multi property analysis; Multifractal; Multiscale; MM-DFA; Financial time series;
Extreme risk modeling: An EVT-pair-copulas approach for financial stress tests
Keywords: سری زمانی مالی; C5; G11; G17; Financial time series; EVT; Pair-copulas; R-vine; Stress testing; Scenario;
Statistical inference for nonparametric GARCH models
Keywords: سری زمانی مالی; 62M10; 62G08Autoregression; Financial time series; Inference for stochastic processes; Minimax rates; Nonparametric regression
Fluctuation behaviors of financial time series by a stochastic Ising system on a Sierpinski carpet lattice
Keywords: سری زمانی مالی; Fluctuation behavior; Financial time series; Sierpinski carpet lattice; Ising dynamic system; Multifractal spectrum;
Scaling, stability and distribution of the high-frequency returns of the Ibex35 index
Keywords: سری زمانی مالی; Financial time series; High-frequency returns; Generalized hyperbolic distributions; Lévy-stable distributions; Scaling laws; Tail behavior;
High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
Keywords: سری زمانی مالی; G1; G13; G14High quantiles; Quantitative risk management; Statistics of extremes; Financial time series
Forecasting the movement direction of exchange rate with polynomial smooth support vector machine
Keywords: سری زمانی مالی; Data mining; Machine learning; Support vector machines; Neural networks; Financial time series; Forecasting
A Morphological-Rank-Linear evolutionary method for stock market prediction
Keywords: سری زمانی مالی; Morphological-Rank-Linear filters; Genetic algorithms; Intelligent hybrid models; Financial time series; Stock market prediction
OBST-based segmentation approach to financial time series
Keywords: سری زمانی مالی; Financial time series; Turning points; Segmentation; Trends; Optimal binary search tree
Financial time series forecasting with a bio-inspired fuzzy model
Keywords: سری زمانی مالی; Time series forecasting; Fuzzy rule-based systems; Regime switching models; Financial time series
Wealth dynamics and a bias toward momentum trading
Keywords: سری زمانی مالی; G12; G14; G17; D83; Evolution; Asset pricing; Financial time series; Momentum;
Towards estimating extremal serial dependence via the bootstrapped extremogram
Keywords: سری زمانی مالی; C50; Extremogram; Extremal dependence; Stationary bootstrap; Financial time series;
On the estimation of dynamic conditional correlation models
Keywords: سری زمانی مالی; DCC; Shrinkage; Sample covariance matrix; Financial time series
Some nonstandard stochastic volatility models and their estimation using structured hidden Markov models
Keywords: سری زمانی مالی; C13; C51; C53State-space models; Mixture models; Financial time series; Forecasting; Pseudo-residuals; Backtesting
Rényi’s information transfer between financial time series
Keywords: سری زمانی مالی; Econophysics; Rényi entropy; Information transfer; Financial time series
Heterogeneous gain learning and the dynamics of asset prices
Keywords: سری زمانی مالی; G12; G14; G17; D83Learning; Asset pricing; Financial time series; Evolution; Memory
Parametric and non-parametric approaches in evaluating martingale hypothesis of energy spot markets
Keywords: سری زمانی مالی; Energy spot markets; Martingale process; Variance ratio test; Structural break; Financial time series
Hedging the black swan: Conditional heteroskedasticity and tail dependence in S&P500 and VIX
Keywords: سری زمانی مالی; C14; C18; G13; Financial time series; Extreme value theory; Extremal dependence structure; Downside risk; Optimal hedge ratio;
Will the US economy recover in 2010? A minimal spanning tree study
Keywords: سری زمانی مالی; US economic sectors; Macroeconomic cycle; Financial crisis; Economic recovery; Financial time series; Segmentation; Clustering; Cross correlations; Minimal spanning tree; Planar maximally filtered graph;
Self-similarity in financial markets: A fractionally integrated approach
Keywords: سری زمانی مالی; Long memory process; Self-similarity; Fractionally integrated model; Financial time series; Econophysics
Non-stationary and stationary prediction of financial time series using dynamic ridge polynomial neural network
Keywords: سری زمانی مالی; Dynamic ridge polynomial neural network; Financial time series; Higher order neural networks; Pi-Sigma neural networks; Ridge polynomial neural networks
Trading strategy design in financial investment through a turning points prediction scheme
Keywords: سری زمانی مالی; Trading strategy; Ensemble artificial neural network; Chaotic analysis; Turning points prediction; Financial time series
Modeling and forecasting crude oil markets using ARCH-type models
Keywords: سری زمانی مالی; Financial time series; ARCH model; Forecasting evaluations
Time-varying volatility in Malaysian stock exchange: An empirical study using multiple-volatility-shift fractionally integrated model
Keywords: سری زمانی مالی; Fractionally integrated; Time-varying volatility; Structural change; Financial time series
Heavy-tailed value-at-risk analysis for Malaysian stock exchange
Keywords: سری زمانی مالی; Value-at-risk; Heavy-tail distribution; ARCH models; Financial time series
Does composite index of NYSE represents chaos in the long time scale?
Keywords: سری زمانی مالی; Financial time series; Non-linearity; Chaos; Lyapunov Exponent; Hurst exponent
A new statistic and practical guidelines for nonparametric Granger causality testing
Keywords: سری زمانی مالی; C12; C51; E3; Financial time series; Granger causality; Nonparametric; Hypothesis testing; Size distortion; U-statistics;
An evaluation framework for alternative VaR-models
Keywords: سری زمانی مالی; C22; C52; G10; Value-at-Risk; Financial time series; Exchange rate positions; GARCH; Estimation risk; Fat-tail distributions;