Pattern recognition in microtrading behaviors preceding stock price jumps : a study based on mutual information for multivariate time series
Ao Kong, Robert Azencott, Hongliang Zhu, Xindan Li
| Year of publication: |
2024
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| Authors: | Kong, Ao ; Azencott, Robert ; Zhu, Hongliang ; Li, Xindan |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 4, p. 1401-1429
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| Subject: | Price jumps | Microtrading behaviors | Mutual information | Multivariate time-series analysis | Feature selection | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Volatilität | Volatility | Multivariate Analyse | Multivariate analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10367-6 [DOI] 10.1007/s10614-023-10367 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014549027