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Multivariate dynamic Kernels for financial time series forecasting
dc.contributor | Arratia Quesada, Argimiro Alejandro |
dc.contributor | Belanche Muñoz, Luis Antonio |
dc.contributor.author | Peña-Grass, Mauricio |
dc.contributor.other | Universitat Politècnica de Catalunya. Departament de Ciències de la Computació |
dc.date.accessioned | 2015-07-02T11:53:56Z |
dc.date.issued | 2015-06 |
dc.identifier.uri | http://hdl.handle.net/2099.1/26418 |
dc.description.abstract | This thesis proposes a novel forecasting method that elaborates on the capability of integrating information measured at different frequencies and at irregular time intervals in financial markets. A data compression process is developed to take a whole range of financial time series and analyze their temporal information through multivariate dynamic kernels within a statistical machine learning algorithm, namely support vector machines. A number of dynamic kernels are designed to make the computational process more tractable without sacrifice on accuracy. Unlike most publications in the field, a complete analytical framework directly from the training data is provided for tuning hyperparameters. Experiments, based on predicting the S&P500 market, show promising results. Other potential applications of dynamic kernels are envisioned in such diverse areas as risk measurement, bioinformatics and industrial processes. |
dc.language.iso | eng |
dc.publisher | Universitat Politècnica de Catalunya |
dc.publisher | Universitat de Barcelona |
dc.subject | Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica |
dc.subject.lcsh | Statistics -- Applications |
dc.subject.other | Support vector machine regression |
dc.subject.other | Dynamic kernels |
dc.subject.other | Hyperparameters selection |
dc.subject.other | Variable length time series |
dc.subject.other | Financial market forecasting |
dc.subject.other | Compressed data |
dc.title | Multivariate dynamic Kernels for financial time series forecasting |
dc.type | Master thesis |
dc.subject.lemac | Estadística matemàtica--Aplicacions |
dc.subject.ams | Classificació AMS::62 Statistics::62P Applications |
dc.identifier.slug | FME-1145 |
dc.rights.access | Restricted access - author's decision |
dc.date.lift | 10000-01-01 |
dc.date.updated | 2015-06-30T05:38:13Z |
dc.audience.educationlevel | Màster |
dc.audience.mediator | Universitat Politècnica de Catalunya. Facultat de Matemàtiques i Estadística |
dc.audience.degree | MÀSTER UNIVERSITARI EN ESTADÍSTICA I INVESTIGACIÓ OPERATIVA (Pla 2013) |
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