Härdle, Wolfgang Karl; Mihoci, Andrija; Ting, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...